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

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Abstract
Motivated by the latest effort to employ banded matrices to estimate a highdimensional 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 highdimensional 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 

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:  13. Jul 2013 22:36 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/46242 