A note on testing the covariance matrix for large dimension
Year of publication: |
2003
|
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Authors: | Birke, Melanie ; Dette, Holger |
Publisher: |
Dortmund : Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen |
Subject: | sphericity test | random matrices | Wishart distribution |
Series: | Technical Report ; 2004,02 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 823996093 [GVK] hdl:10419/49373 [Handle] RePEc:zbw:sfb475:200402 [RePEc] |
Source: |
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A note on testing the covariance matrix for large dimension
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