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Test for Bandedness of High Dimensional Covariance Matrices with Bandwidth Estimation

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  • Qiu, Yumou
  • Chen, Songxi

Abstract

Motivated by the latest effort to employ banded matrices to estimate a high-dimensional covariance Σ , we propose a test for Σ being banded with possible diverging bandwidth. The test is adaptive to the “large p , small n ” situations without assuming a specific parametric distribution for the data. We also formulate a consistent estimator for the bandwidth of a banded high-dimensional covariance matrix. The properties of the test and the bandwidth estimator are investigated by theoretical evaluations and simulation studies, as well as an empirical analysis on a protein mass spectroscopy data.

Suggested Citation

  • Qiu, Yumou & Chen, Songxi, 2012. "Test for Bandedness of High Dimensional Covariance Matrices with Bandwidth Estimation," MPRA Paper 46242, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:46242
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    References listed on IDEAS

    as
    1. James R. Schott, 2005. "Testing for complete independence in high dimensions," Biometrika, Biometrika Trust, vol. 92(4), pages 951-956, December.
    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.
    3. Bai, Z. D. & Silverstein, Jack W. & Yin, Y. Q., 1988. "A note on the largest eigenvalue of a large dimensional sample covariance matrix," Journal of Multivariate Analysis, Elsevier, vol. 26(2), pages 166-168, August.
    4. Rothman, Adam J. & Levina, Elizaveta & Zhu, Ji, 2009. "Generalized Thresholding of Large Covariance Matrices," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 177-186.
    5. Jianhua Z. Huang & Naiping Liu & Mohsen Pourahmadi & Linxu Liu, 2006. "Covariance matrix selection and estimation via penalised normal likelihood," Biometrika, Biometrika Trust, vol. 93(1), pages 85-98, March.
    6. Adam J. Rothman & Elizaveta Levina & Ji Zhu, 2010. "A new approach to Cholesky-based covariance regularization in high dimensions," Biometrika, Biometrika Trust, vol. 97(3), pages 539-550.
    7. Fan, Jianqing & Fan, Yingying & Lv, Jinchi, 2008. "High dimensional covariance matrix estimation using a factor model," Journal of Econometrics, Elsevier, vol. 147(1), pages 186-197, November.
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    Citations

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    Cited by:

    1. Hannart, Alexis & Naveau, Philippe, 2014. "Estimating high dimensional covariance matrices: A new look at the Gaussian conjugate framework," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 149-162.
    2. Yamada, Yuki & Hyodo, Masashi & Nishiyama, Takahiro, 2017. "Testing block-diagonal covariance structure for high-dimensional data under non-normality," Journal of Multivariate Analysis, Elsevier, vol. 155(C), pages 305-316.
    3. Tiefeng Jiang & Yongcheng Qi, 2015. "Likelihood Ratio Tests for High-Dimensional Normal Distributions," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(4), pages 988-1009, December.

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    More about this item

    Keywords

    Banded covariance matrix; Bandwidth estimation; High data dimension; Large p; small n; Nonparametric.;
    All these keywords.

    JEL classification:

    • C0 - Mathematical and Quantitative Methods - - General
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • C7 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
    • C9 - Mathematical and Quantitative Methods - - Design of Experiments
    • G0 - Financial Economics - - General

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