Signal Detection in High Dmension: The Multispiked Case
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References listed on IDEAS
- Alexei Onatski & Marcelo Moreira J. & Marc Hallin, 2011. "Asymptotic Power of Sphericity Tests for High-Dimensional Data," Working Papers ECARES ECARES 2011-018, ULB -- Universite Libre de Bruxelles.
- Schott, James R., 2006. "A high-dimensional test for the equality of the smallest eigenvalues of a covariance matrix," Journal of Multivariate Analysis, Elsevier, vol. 97(4), pages 827-843, April.
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- Matteo Barigozzi & Lorenzo Trapani, 2017. "Sequential testing for structural stability in approximate factor models," Papers 1708.02786, arXiv.org.
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Keywordssphericity tests; large dimentionality; asymptotic power; spiked covariance; contiguity; power enveloppe;
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