Testing high-dimensional covariance matrices under the elliptical distribution and beyond
Xinxin Yang, Xinghua Zheng, Jiaqi Chen
Topics & Concepts
MathematicsElliptical distributionCovariance matrixInvertible matrixCovarianceEstimation of covariance matricesSphericityKurtosisParametric statisticsCentral limit theoremApplied mathematicsStatistical hypothesis testingStatisticsLimit (mathematics)Matrix (chemical analysis)Mathematical analysisPure mathematicsMultivariate normal distributionComposite materialMultivariate statisticsGeometryMaterials scienceRandom Matrices and ApplicationsFinancial Risk and Volatility ModelingStatistical Methods and Bayesian Inference