Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7549629 | Statistics & Probability Letters | 2014 | 13 Pages |
Abstract
Moment inequality for quadratic forms of random vectors is of particular interest in covariance matrix testing and estimation problems. In this paper, we prove a Rosenthal-type inequality, which exhibits new features and certain improvement beyond the unstructured Rosenthal inequality of quadratic forms when dimension of the vectors increases without bound. Applications to test the block diagonal structures and detect the sparsity in the high-dimensional covariance matrix are presented.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Xiaohui Chen,