Block-diagonal test for high-dimensional covariance matrices

Jiayu Lai; Xiaoyi Wang; Kaige Zhao; Shurong Zheng

doi:10.1007/s11749-022-00842-x

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Block-diagonal test for high-dimensional covariance matrices

Jiayu Lai Xiaoyi Wang Kaige Zhao Shurong Zheng

Year: 2022 Journal: Test Vol: 32 (1)Pages: 447-466 Publisher: Springer Science+Business Media

DOI: 10.1007/s11749-022-00842-x

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Keywords:

Covariance matrix Diagonal Mathematics Covariance Curse of dimensionality Block (permutation group theory) Statistical hypothesis testing Block matrix Estimation of covariance matrices Applied mathematics Computer science Statistics Algorithm Combinatorics

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Random Matrices and Applications

Physical Sciences → Mathematics → Statistics and Probability

Statistical Methods and Inference

Physical Sciences → Mathematics → Statistics and Probability

Bayesian Methods and Mixture Models

Physical Sciences → Computer Science → Artificial Intelligence

Block-diagonal test for high-dimensional covariance matrices

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