Hallin, Marc; Onatski, Alexei; Moreira J., Marcelo - European Centre for Advanced Research in Economics and … - 2012
This paper deals with the local asymptotic structure, in the sense ofLe Cam’s asymptotic theory of statistical experiments, of the signal detectionproblem in high dimension. More precisely, we consider the problemof testing the null hypothesis of sphericity of a high-dimensional...