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- Publisher Website: 10.1007/s00362-019-01110-1
- Scopus: eid_2-s2.0-85080984301
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Article: Test On The Linear Combinations Of Covariance Matrices In High-dimensional Data
Title | Test On The Linear Combinations Of Covariance Matrices In High-dimensional Data |
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Authors | |
Keywords | Multi-sample test Covariance matrices U-statistic CLT |
Issue Date | 2021 |
Publisher | Springer Verlag. The Journal's web site is located at http://link.springer.de/link/service/journals/00362/index.htm |
Citation | Statistical Papers, 2021, v. 62 n. 2, p. 701-719 How to Cite? |
Abstract | In this paper, we propose a new test on the linear combinations of covariance matrices in high-dimensional data. Our statistic can be applied to many hypothesis tests on covariance matrices. In particular, the test proposed by Li and Chen (Ann Stat 40:908–940, 2012) on the homogeneity of two population covariance matrices is a special case of our test. The results are illustrated by an empirical example in financial portfolio allocation. |
Persistent Identifier | http://hdl.handle.net/10722/272344 |
ISSN | 2023 Impact Factor: 1.2 2023 SCImago Journal Rankings: 0.659 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Bai, Z | - |
dc.contributor.author | Hu, J | - |
dc.contributor.author | Wang, C | - |
dc.contributor.author | Zhang, C | - |
dc.date.accessioned | 2019-07-20T10:40:30Z | - |
dc.date.available | 2019-07-20T10:40:30Z | - |
dc.date.issued | 2021 | - |
dc.identifier.citation | Statistical Papers, 2021, v. 62 n. 2, p. 701-719 | - |
dc.identifier.issn | 0932-5026 | - |
dc.identifier.uri | http://hdl.handle.net/10722/272344 | - |
dc.description.abstract | In this paper, we propose a new test on the linear combinations of covariance matrices in high-dimensional data. Our statistic can be applied to many hypothesis tests on covariance matrices. In particular, the test proposed by Li and Chen (Ann Stat 40:908–940, 2012) on the homogeneity of two population covariance matrices is a special case of our test. The results are illustrated by an empirical example in financial portfolio allocation. | - |
dc.language | eng | - |
dc.publisher | Springer Verlag. The Journal's web site is located at http://link.springer.de/link/service/journals/00362/index.htm | - |
dc.relation.ispartof | Statistical Papers | - |
dc.subject | Multi-sample test | - |
dc.subject | Covariance matrices | - |
dc.subject | U-statistic | - |
dc.subject | CLT | - |
dc.title | Test On The Linear Combinations Of Covariance Matrices In High-dimensional Data | - |
dc.type | Article | - |
dc.identifier.email | Wang, C: stacw@hku.hk | - |
dc.identifier.authority | Wang, C=rp02404 | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1007/s00362-019-01110-1 | - |
dc.identifier.scopus | eid_2-s2.0-85080984301 | - |
dc.identifier.hkuros | 299217 | - |
dc.identifier.volume | 62 | - |
dc.identifier.issue | 2 | - |
dc.identifier.spage | 701 | - |
dc.identifier.epage | 719 | - |
dc.identifier.isi | WOS:000630083300007 | - |
dc.publisher.place | Germany | - |
dc.identifier.issnl | 0932-5026 | - |