The Annals of Statistics

Two sample tests for high-dimensional covariance matrices

Abstract

We propose two tests for the equality of covariance matrices between two high-dimensional populations. One test is on the whole variance–covariance matrices, and the other is on off-diagonal sub-matrices, which define the covariance between two nonoverlapping segments of the high-dimensional random vectors. The tests are applicable (i) when the data dimension is much larger than the sample sizes, namely the “large $p$, small $n$” situations and (ii) without assuming parametric distributions for the two populations. These two aspects surpass the capability of the conventional likelihood ratio test. The proposed tests can be used to test on covariances associated with gene ontology terms.

Article information

Source
Ann. Statist. Volume 40, Number 2 (2012), 908-940.

Dates
First available in Project Euclid: 1 June 2012

https://projecteuclid.org/euclid.aos/1338515142

Digital Object Identifier
doi:10.1214/12-AOS993

Mathematical Reviews number (MathSciNet)
MR2985938

Zentralblatt MATH identifier
1274.62383

Subjects
Primary: 62H15: Hypothesis testing
Secondary: 62G10: Hypothesis testing 62G20: Asymptotic properties

Citation

Li, Jun; Chen, Song Xi. Two sample tests for high-dimensional covariance matrices. Ann. Statist. 40 (2012), no. 2, 908--940. doi:10.1214/12-AOS993. https://projecteuclid.org/euclid.aos/1338515142.

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