Testing of High-Dimensional Covariance Structures
主 题: Testing of High-Dimensional Covariance Structures
报告人: Yin Xia (UNC-Chapel Hill )
时 间: 2015-01-15 14:00-15:00
地 点: 理科一号楼 1114（主持人：陈大岳）
Motivated by a range of applications, we consider in this talk in the high-dimensional setting several interrelated testing problems on the covariance structures. We begin by considering testing the equality of two covariance matrices and investigate its theoretical and numerical properties. The limiting null distribution of the test statistics is derived and the power of the test is studied. In addition, some related testing problems, including robust multiple testing of covariance matrices and testing of large precision matrices, will be discussed.