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A note on tests for high-dimensional covariance matrices

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  • Mao, Guangyu

Abstract

This paper notes that two test statistics proposed by Chen et al. (2010) and another two recently developed by Srivastava et al. (2014) for sphericity and identity of covariance matrices respectively under non-normality are essentially the same except for a scale factor.

Suggested Citation

  • Mao, Guangyu, 2016. "A note on tests for high-dimensional covariance matrices," Statistics & Probability Letters, Elsevier, vol. 117(C), pages 89-92.
    • Handle: RePEc:eee:stapro:v:117:y:2016:i:c:p:89-92
    DOI: 10.1016/j.spl.2016.05.002
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    References listed on IDEAS

    as
    1. Muni S. Srivastava & Hirokazu Yanagihara & Tatsuya Kubokawa, 2014. "Tests for Covariance Matrices in High Dimension with Less Sample Size," CIRJE F-Series CIRJE-F-933, CIRJE, Faculty of Economics, University of Tokyo.
    2. Chen, Song Xi & Zhang, Li-Xin & Zhong, Ping-Shou, 2010. "Tests for High-Dimensional Covariance Matrices," Journal of the American Statistical Association, American Statistical Association, vol. 105(490), pages 810-819.
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