Testing homogeneity of high-dimensional covariance matrices

  title={Testing homogeneity of high-dimensional covariance matrices},
  author={Shu-rong Zheng and Ruitao Lin and Jianhua Guo and Guosheng Yin},
  journal={Statistica Sinica},
Testing homogeneity of multiple high-dimensional covariance matrices is becoming more critical in multivariate statistical analysis owing to the emergence of big data. Many existing homogeneity tests for high-dimensional covariance matrices mainly focus on two populations, and they often target at some specific situations, for example, either sparse alternatives or dense alternatives, thus the available methods are not suitable for general cases with multiple groups. To accommodate various… 

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