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Technische Universität Dortmund >
Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, Technische Universität Dortmund >
Technical Reports, SFB 475, TU Dortmund >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/49373
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Birke, Melanie | | en_US |
| dc.contributor.author | | Dette, Holger | | en_US |
| dc.date.accessioned | | 2011-09-06T11:45:34Z | | - |
| dc.date.available | | 2011-09-06T11:45:34Z | | - |
| dc.date.issued | | 2003 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/49373 | | - |
| dc.description.abstract | | We consider the problem of testing hypotheses regarding the covariance matrix of multivariate normal data, if the sample size s and dimension n satisfy lim [n,s→∞] n/s = y. Recently, several tests have been proposed in the case, where the sample size and dimension are of the same order, that is y ∈ (0,∞). In this paper we consider the cases y = 0 and y = ∞. It is demonstrated that standard techniques are not applicable to deal with these cases. A new technique is introduced, which is of its own interest, and is used to derive the asymptotic distribution of the test statistics in the extreme cases y = 0 and y = ∞. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Univ., SFB 475 Dortmund | | en_US |
| dc.relation.ispartofseries | | Technical Report // Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen 2004,02 | | en_US |
| dc.subject.ddc | | 310 | | en_US |
| dc.subject.keyword | | sphericity test | | en_US |
| dc.subject.keyword | | random matrices | | en_US |
| dc.subject.keyword | | Wishart distribution | | en_US |
| dc.title | | A note on testing the covariance matrix for large dimension | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 383919045 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Technical Reports, SFB 475, TU Dortmund
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