Qiu, Yumou and Chen, Songxi
(2012):
*Test for Bandedness of High Dimensional Covariance Matrices with Bandwidth Estimation.*
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## Abstract

Motivated by the latest effort to employ banded matrices to estimate a high-dimensional covariance Σ , we propose a test for Σ being banded with possible diverging bandwidth. The test is adaptive to the “large p , small n ” situations without assuming a specific parametric distribution for the data. We also formulate a consistent estimator for the bandwidth of a banded high-dimensional covariance matrix. The properties of the test and the bandwidth estimator are investigated by theoretical evaluations and simulation studies, as well as an empirical analysis on a protein mass spectroscopy data.

Item Type: | MPRA Paper |
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Original Title: | Test for Bandedness of High Dimensional Covariance Matrices with Bandwidth Estimation |

Language: | English |

Keywords: | Banded covariance matrix,Bandwidth estimation,High data dimension,Large p,small n,Nonparametric. |

Subjects: | C - Mathematical and Quantitative Methods > C0 - General C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics C - Mathematical and Quantitative Methods > C5 - Econometric Modeling C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling C - Mathematical and Quantitative Methods > C7 - Game Theory and Bargaining Theory C - Mathematical and Quantitative Methods > C8 - Data Collection and Data Estimation Methodology ; Computer Programs C - Mathematical and Quantitative Methods > C9 - Design of Experiments G - Financial Economics > G0 - General |

Item ID: | 46242 |

Depositing User: | Professor Songxi Chen |

Date Deposited: | 17 Apr 2013 10:04 |

Last Modified: | 04 Oct 2019 02:54 |

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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/46242 |