| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 415398 | Computational Statistics & Data Analysis | 2014 | 13 Pages |
Abstract
Testing the proportionality of two large-dimensional covariance matrices is studied. Based on modern random matrix theory, a pseudo-likelihood ratio statistic is proposed and its asymptotic normality is proved as the dimension and sample sizes tend to infinity proportionally.
Related Topics
Physical Sciences and Engineering
Computer Science
Computational Theory and Mathematics
Authors
Lin Xu, Baisen Liu, Shurong Zheng, Shaokun Bao,