Some Tests Concerning the Covariance Matrix in High Dimensional Data
Some Tests Concerning the Covariance Matrix in High Dimensional Data
In this paper, tests are developed for testing certain hypotheses on the covariance matrix Σ, when the sample size N = n + 1 is smaller than the dimension pof the data. Under the condition that (tr Σi⁄p) exists and > 0, as p → ∞, i =1,…,8, tests are …