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arXiv · 1302.3302

Asymptotic power of likelihood ratio tests for high dimensional data

Cheng Wang·Longbing Cao·Baiqi Miao
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Abstract

This paper considers the asymptotic power of likelihood ratio test (LRT) for the identity test when the dimension p is large compared to the sample size n. The asymptotic distribution of LRT under alternatives is given and an explicit expression of the power is derived. A simulation study is carried out to compare LRT with other tests. All these studies show that LRT is a powerful test to detect eigenvalues around zero. Key words and phrases: Covariance matrix, High dimensional data, Identity test, Likelihood ratio test, Power

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Cheng Wang, Longbing Cao, Baiqi Miao. 2013-02-14. Asymptotic power of likelihood ratio tests for high dimensional data. https://arxiv.org/abs/1302.3302

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