Testing proportionality of two large-dimensional covariance matrices

被引：6
|
作者：
Xu, Lin [1 ,2 ]
Liu, Baisen [3 ]
Zheng, Shurong [1 ,2 ]
Bao, Shaokun [4 ]
机构：
[1] NE Normal Univ, KLAS, Changchun 130024, Peoples R China
[2] NE Normal Univ, Sch Math & Stat, Changchun 130024, Peoples R China
[3] Dongbei Univ Finance & Econ, Sch Stat, Dalian 116025, Peoples R China
[4] Qinhuangdao Port Co LTD, Ctr Technol, Qinhuangdao 066002, Peoples R China
来源：
COMPUTATIONAL STATISTICS & DATA ANALYSIS | 2014年 / 78卷
关键词：
Proportionality; Large-dimensional data; Likelihood ratio test; Limiting spectral distribution; Random F-matrices;
D O I：
10.1016/j.csda.2014.03.014
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
Testing the proportionality of two large-dimensional covariance matrices is studied. Based on modern random matrix theory, a pseudo-likelihood ratio statistic is proposed and its asymptotic normality is proved as the dimension and sample sizes tend to infinity proportionally. (C) 2014 Elsevier B.V. All rights reserved.
引用
收藏
页码：43 / 55
页数：13
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