# TESTING CONSTANCY OF CONDITIONAL VARIANCE IN HIGH DIMENSION

@article{Deng2020TESTINGCO, title={TESTING CONSTANCY OF CONDITIONAL VARIANCE IN HIGH DIMENSION}, author={Lu Deng and Changliang Zou and Zhaojun Wang and Xin Chen}, journal={Statistica Sinica}, year={2020} }

Testing constancy of conditional covariance matrix is a fundamental problem. Deviation from this assumption would result in severely inefficient estimate. In this article, we propose a slice-based procedure to test constant conditional variance in cases where the data dimension is larger than the sample size. We develop a high-order correction that makes the test statistic robust with respect to high dimensionality, and show that the proposed test statistic is asymptotically normal under some…

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