Testing high-dimensional covariance structures using double-normalized observations
摘要
In this paper, we focus on the test for high-dimensional covariance structures using double-normalized observations for an elliptical population. By investigating the limiting spectral properties of the sample covariance matrix of double-normalized observations, we propose test statistics applicable for testing the diagonality of the population covariance matrix. Extensive simulations are conducted to investigate the performances of the proposed test in various situations.