Asymptotic power of sphericity tests for high-dimensional data

Annals of Statistics

Volumn 41, Issue 3, 2013, Pages 1204-1231

  Onatski, Alexei ^a   Moreira, Marcelo J ^b   Hallin, Marc ^c  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^b FUNDAÇÃO GETÚLIO VARGAS   (Brazil)

^c UNIVERSITÉ LIBRE DE BRUXELLES   (Belgium)

Author keywords

Asymptotic power; Contiguity; Contour integral representation; Large dimensionality; Power envelope; Sphericity tests; Spiked covariance; Steepest descent

Indexed keywords

EID: 84879400429     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/13-AOS1100     Document Type: Article

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