Weighted Statistic in Detecting Faint and Sparse Alternatives for High-Dimensional Covariance Matrices

• Main Authors: Yang, Qing, Pan, Guangming
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2017
• Subjects: Empirical spectral distribution; Faint alternative
• Online Access: https://hdl.handle.net/10356/85597; http://hdl.handle.net/10220/43760
• Institution: Nanyang Technological University

This article considers testing equality of two population covariance matrices when the data dimension p diverges with the sample size n (p/n → c > 0). We propose a weighted test statistic that is data-driven and powerful in both faint alternatives (many small disturbances) and sparse alternatives...