کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5129380 1489641 2017 21 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Likelihood ratio test for partial sphericity in high and ultra-high dimensions
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
پیش نمایش صفحه اول مقاله
Likelihood ratio test for partial sphericity in high and ultra-high dimensions
چکیده انگلیسی

We consider, in the setting of p and n large, sample covariance matrices whose population counterparts follow a spiked population model, i.e., with the exception of the first (largest) few, all the population eigenvalues are equal. We study the asymptotic distribution of the partial maximum likelihood ratio statistic and use it to test for the dimension of the population spike subspace. Furthermore, we extend this to the ultra-high-dimensional case, i.e., p>n. A thorough study of the power of the test gives a correction that allows us to test for the dimension of the population spike subspace even for values of the limit of p/n close to 1, a setting where other approaches have proved to be deficient.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 159, July 2017, Pages 18-38
نویسندگان
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