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The LiU Seminar Series in Statistics and Mathematical Statistics


The seminars are typically held bi-weekly on Tuesdays at 15.15-16.15.
For further information, or if you want to be notified about the seminars by e-mail, please contact Mattias Villani.


Upcoming Seminar

Tuesday, September 2, 3.15 pm, 2014. Seminar in Mathematical Statistics.

Tests For Covariance Matrices in High Dimension with Less Sample Size
Muni S. Srivastava
, Department of Statistical Sciences, University of Toronto, Canada.
Abstract: In this article, we propose tests for covariance matrices of high dimension with fewer observations than the dimension for a general class of distributions with positive definite covariance matrices. In one-sample case, tests are proposed for sphericity and for testing the hypothesis that the covariance matrix bSi is an identity matrix, by providing an unbiased estimator of tr[bSi2] under the general model which requires no more computing time than the one available in the literature for normal model. In the two-sample case, tests for the equality of two covariance matrices are given. The asymptotic distributions of proposed tests in one-sample case are derived under the assumption that the sample size N = O(p^{delta}), 1/2 < delta <1, where p is the dimension of the random vector.
Keywords & Phrases: Asymptotic distributions, covariance matrix, high dimension, non-normal model, sample size smaller than dimension, test statistics.
Location: Hopningspunkten.

Future and Past Seminars

Fall 2014 | Spring 2014 | Fall 2013 | Spring 2013 | Fall 2012 | Spring 2012 | Fall 2011

Page responsible: Mattias Villani
Last updated: 2014-09-01