کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1145724 1489670 2014 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Estimations for some functions of covariance matrix in high dimension under non-normality and its applications
ترجمه فارسی عنوان
برآوردها برای برخی از توابع ماتریس کواریانس در ابعاد بالا تحت غیر نرمال و کاربردهای آن
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
چکیده انگلیسی

When we consider a statistical test in the high dimensional case, we often need estimators of the functions of the covariance matrix ΣΣ. Especially, it is needed to estimate a2=(1/p)trΣ2a2=(1/p)trΣ2. The unbiased and consistent estimator of a2a2 is proposed in preceding study when the population distribution is multivariate normal. But it is difficult to estimate in the non-normal case. So we propose the unbiased and consistent estimators for some functions of covariance matrix including a2a2 under the non-normal case. Through the numerical simulation, we confirmed the accuracy of the approximation of our proposed estimators. Using proposed estimators, we proposed a test for assessing multivariate normality of the high-dimensional data.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 130, September 2014, Pages 27–44
نویسندگان
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