A new test for the proportionality of two large-dimensional covariance matrices
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jmva.2014.06.008
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Srivastava, M. S. & Khatri, C. G. & Carter, E. M., 1978. "On monotonicity of the modified likelihood ratio test for the equality of two covariances," Journal of Multivariate Analysis, Elsevier, vol. 8(2), pages 262-267, June.
- Christophe Pérignon & Christophe Villa, 2006.
"Sources of Time Variation in the Covariance Matrix of Interest Rates,"
The Journal of Business, University of Chicago Press, vol. 79(3), pages 1535-1550, May.
- Christophe Villa & Christophe Pérignon, 2006. "Sources of time variation in the covariance matrix of interest rates," Post-Print halshs-00114211, HAL.
- Fisher, Thomas J. & Sun, Xiaoqian & Gallagher, Colin M., 2010. "A new test for sphericity of the covariance matrix for high dimensional data," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2554-2570, November.
- D. Nel & P. Groenewald, 1993. "A Bayesian approach to the multivariate Behrens-Fisher problem under the assumption of proportional covariance matrices," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 2(1), pages 111-124, December.
- Alexander Shapiro & Jos Berge, 2002. "Statistical inference of minimum rank factor analysis," Psychometrika, Springer;The Psychometric Society, vol. 67(1), pages 79-94, March.
- Schott, James R., 1999. "A test for proportional covariance matrices," Computational Statistics & Data Analysis, Elsevier, vol. 32(2), pages 135-146, December.
- Flury, Bernhard K., 1986. "Proportionality of k covariance matrices," Statistics & Probability Letters, Elsevier, vol. 4(1), pages 29-33, January.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Ahmad, Rauf, 2022. "Tests for proportionality of matrices with large dimension," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
- Tsukuda, Koji & Matsuura, Shun, 2019. "High-dimensional testing for proportional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 412-420.
- Xu, Kai & Tian, Yan & He, Daojiang, 2021. "A high dimensional nonparametric test for proportional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 184(C).
- Cheng, Guanghui & Liu, Baisen & Tian, Guoliang & Zheng, Shurong, 2020. "Testing proportionality of two high-dimensional covariance matrices," Computational Statistics & Data Analysis, Elsevier, vol. 150(C).
- Tsukuda, Koji & Matsuura, Shun, 2021. "Limit theorem associated with Wishart matrices with application to hypothesis testing for common principal components," Journal of Multivariate Analysis, Elsevier, vol. 186(C).
- Tingting Zou & Shurong Zheng & Zhidong Bai & Jianfeng Yao & Hongtu Zhu, 2022. "CLT for linear spectral statistics of large dimensional sample covariance matrices with dependent data," Statistical Papers, Springer, vol. 63(2), pages 605-664, April.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Xu, Kai & Tian, Yan & He, Daojiang, 2021. "A high dimensional nonparametric test for proportional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 184(C).
- Xu, Lin & Liu, Baisen & Zheng, Shurong & Bao, Shaokun, 2014. "Testing proportionality of two large-dimensional covariance matrices," Computational Statistics & Data Analysis, Elsevier, vol. 78(C), pages 43-55.
- Tsukuda, Koji & Matsuura, Shun, 2019. "High-dimensional testing for proportional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 412-420.
- Cheng, Guanghui & Liu, Baisen & Tian, Guoliang & Zheng, Shurong, 2020. "Testing proportionality of two high-dimensional covariance matrices," Computational Statistics & Data Analysis, Elsevier, vol. 150(C).
- Ahmad, Rauf, 2022. "Tests for proportionality of matrices with large dimension," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
- Anastasiou, Andreas, 2017. "Bounds for the normal approximation of the maximum likelihood estimator from m-dependent random variables," Statistics & Probability Letters, Elsevier, vol. 129(C), pages 171-181.
- Denter, Philipp & Sisak, Dana, 2015.
"Do polls create momentum in political competition?,"
Journal of Public Economics, Elsevier, vol. 130(C), pages 1-14.
- Philipp Denter & Dana Sisak, 2013. "Do Polls create Momentum in Political Competition?," Tinbergen Institute Discussion Papers 13-169/VII, Tinbergen Institute.
- Salgado Alfredo, 2018. "Incomplete Information and Costly Signaling in College Admissions," Working Papers 2018-23, Banco de México.
- Albrecht, James & Anderson, Axel & Vroman, Susan, 2010.
"Search by committee,"
Journal of Economic Theory, Elsevier, vol. 145(4), pages 1386-1407, July.
- Albrecht, James & Anderson, Axel Z. & Vroman, Susan, 2007. "Search by Committee," IZA Discussion Papers 3137, Institute of Labor Economics (IZA).
- James Albrecht & Axel Anderson & Susan Vroman, 2007. "Search by Committee," Working Papers gueconwpa~07-07-09, Georgetown University, Department of Economics.
- Susan Vroman & Axel Anderson & James Albrecht, 2007. "Search by Committee," 2007 Meeting Papers 351, Society for Economic Dynamics.
- Blier-Wong, Christopher & Cossette, Hélène & Marceau, Etienne, 2023. "Risk aggregation with FGM copulas," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 102-120.
- Tian, Xintao & Lu, Yuting & Li, Weiming, 2015. "A robust test for sphericity of high-dimensional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 141(C), pages 217-227.
- Craig S. Hakkio & William R. Keeton, 2009. "Financial stress: what is it, how can it be measured, and why does it matter?," Economic Review, Federal Reserve Bank of Kansas City, vol. 94(Q II), pages 5-50.
- Simon Bruhn & Thomas Grebel & Lionel Nesta, 2023.
"The fallacy in productivity decomposition,"
Journal of Evolutionary Economics, Springer, vol. 33(3), pages 797-835, July.
- Bruhn, Simon & Grebel, Thomas & Nesta, Lionel, 2021. "The fallacy in productivity decomposition," Ilmenau Economics Discussion Papers 160, Ilmenau University of Technology, Institute of Economics.
- Bruhn, Simon & Grebel, Thomas & Nesta, Lionel, 2023. "The fallacy in productivity decomposition," Ilmenau Economics Discussion Papers 180, Ilmenau University of Technology, Institute of Economics.
- Simon Bruhn & Thomas Grebel & Lionel Nesta, 2021. "The fallacy in productivity decomposition," SciencePo Working papers Main hal-03474838, HAL.
- Simon Bruhn & Thomas Grebel & Lionel Nesta, 2021. "The Fallacy in Productivity Decomposition," GREDEG Working Papers 2021-39, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
- Simon Bruhn & Thomas Grebel & Lionel Nesta, 2021. "The fallacy in productivity decomposition," Working Papers hal-03474838, HAL.
- Simon Bruhn & Thomas Grebel & Lionel Nesta, 2023. "The fallacy in productivity decomposition," Post-Print hal-04288851, HAL.
- Graciela Boente & Frank Critchley & Liliana Orellana, 2007. "Influence functions of two families of robust estimators under proportional scatter matrices," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 15(3), pages 295-327, February.
- Wim J. van der Linden, 2019. "Lord’s Equity Theorem Revisited," Journal of Educational and Behavioral Statistics, , vol. 44(4), pages 415-430, August.
- Hideyuki Takamizawa, 2015.
"Predicting Interest Rate Volatility Using Information on the Yield Curve,"
International Review of Finance, International Review of Finance Ltd., vol. 15(3), pages 347-386, September.
- Takamizawa, Hideyuki & 髙見澤, 秀幸, 2012. "Predicting Interest Rate Volatility: Using Information on the Yield Curve," Working Paper Series G-1-3, Hitotsubashi University Center for Financial Research.
- Takamizawa, Hideyuki & 髙見澤, 秀幸, 2015. "Predicting Interest Rate Volatility: Using Information on the Yield Curve," Working Paper Series G-1-9, Hitotsubashi University Center for Financial Research.
- Goyal, Amit & Pérignon, Christophe & Villa, Christophe, 2008.
"How common are common return factors across the NYSE and Nasdaq?,"
Journal of Financial Economics, Elsevier, vol. 90(3), pages 252-271, December.
- Christophe Villa & Amit Goyal & Christophe Pérignon, 2008. "How common are common return factors across NYSE and Nasdaq?," Post-Print hal-00796909, HAL.
- Simar, Léopold & Wilson, Paul, 2022. "Modern Tools for Evaluating the Performance of Health-Care Providers," LIDAM Discussion Papers ISBA 2022006, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Dungey, Mardi & McKenzie, Michael & Smith, L. Vanessa, 2009.
"Empirical evidence on jumps in the term structure of the US Treasury Market,"
Journal of Empirical Finance, Elsevier, vol. 16(3), pages 430-445, June.
- Mardi Dungey & Michael McKenzie & Vanessa Smith, 2007. "Empirical Evidence On Jumps In The Term Structure Of The Us Treasury Market," CAMA Working Papers 2007-25, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Baey, Charlotte & Didier, Anne & Lemaire, Sébastien & Maupas, Fabienne & Cournède, Paul-Henry, 2013. "Modelling the interindividual variability of organogenesis in sugar beet populations using a hierarchical segmented model," Ecological Modelling, Elsevier, vol. 263(C), pages 56-63.
More about this item
Keywords
Covariance matrix; Large-dimensional data; Hypothesis testing; Limiting spectral distribution; Proportionality; Random F-matrices;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:131:y:2014:i:c:p:293-308. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.