Corpus ID: 219177204

Fisher's combined probability test for high-dimensional covariance matrices

@article{Yu2020FishersCP,
  title={Fisher's combined probability test for high-dimensional covariance matrices},
  author={Xiufan Yu and Danning Li and Lingzhou Xue},
  journal={arXiv: Statistics Theory},
  year={2020}
}
Testing large covariance matrices is of fundamental importance in statistical analysis with high-dimensional data. In the past decade, three types of test statistics have been studied in the literature: quadratic form statistics, maximum form statistics, and their weighted combination. It is known that quadratic form statistics would suffer from low power against sparse alternatives and maximum form statistics would suffer from low power against dense alternatives. The weighted combination… Expand

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