袁守成, 周杰, 沈洁琼. 基于随机矩阵理论的高维数据球形检验[J]. 应用概率统计, 2020, 36(4): 355-364. DOI: 10.3969/j.issn.1001-4268.2020.04.003
引用本文: 袁守成, 周杰, 沈洁琼. 基于随机矩阵理论的高维数据球形检验[J]. 应用概率统计, 2020, 36(4): 355-364. DOI: 10.3969/j.issn.1001-4268.2020.04.003
YUAN Shoucheng, ZHOU Jie, SHEN Jieqiong. Sphericity Test for High Dimensional Data Based on Random Matrix Theory[J]. Chinese Journal of Applied Probability and Statistics, 2020, 36(4): 355-364. DOI: 10.3969/j.issn.1001-4268.2020.04.003
Citation: YUAN Shoucheng, ZHOU Jie, SHEN Jieqiong. Sphericity Test for High Dimensional Data Based on Random Matrix Theory[J]. Chinese Journal of Applied Probability and Statistics, 2020, 36(4): 355-364. DOI: 10.3969/j.issn.1001-4268.2020.04.003

基于随机矩阵理论的高维数据球形检验

Sphericity Test for High Dimensional Data Based on Random Matrix Theory

  • 摘要: 本文基于随机矩阵理论,研究了一般总体的高维协方差矩阵的球形检验. 当样本量小于数据维数时,经典的似然比检验方法在球形检验中已无法使用.通过引入样本协方差矩阵谱分布的高阶矩, 构造出一个新的检验统计量,并给出其在零假设下的渐近分布.模拟实验表明所提出的统计量在控制第一类错误概率的基础上能有效提高检验功效,对于Spiked模型效果尤为显著.

     

    Abstract: In this article we study test of sphericity for high-dimensional covariance matrix in the general population based on random matrix theory. When the sample size is less than data dimension, the classical likelihood ratio test has poor performance for test of sphericity. Thus, we propose a new statistic for test of sphericity by using the higher moments of spectral distribution of the sample covariance matrix, and derive the asymptotic distribution of the statistic under the null hypothesis. Simulation results show that the proposed statistics can effectively improve the power of the test of sphericity for high dimensional data, and have especially significant effects for Spiked model, on the basis of controlling the type-one error probability.

     

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