Kronecker delta method for testing independence between two vectors in high-dimension

Conventional methods for testing independence between two Gaussian vectors require sample sizes greater than the number of variables in each vector. Therefore, adjustments are needed for the high-dimensional situation, where the sample size is smaller than the number of variables in at least one of...

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Veröffentlicht in:	Statistical papers (Berlin, Germany) Germany), 2022-04, Vol.63 (2), p.343-365
Hauptverfasser:	Silva, Ivair R., Zhuang, Yan, Junior, Julio C. A. da Silva
Format:	Artikel
Sprache:	eng
Schlagworte:	Covariance matrix COVID-19 Economic Theory/Quantitative Economics/Mathematical Methods Economics Finance Insurance Management Mathematics and Statistics Operations Research/Decision Theory Probability Theory and Stochastic Processes Regular Regular Article Statistics Statistics for Business Stock exchanges
Online-Zugang:	Volltext
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