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Asymptotic power of likelihood ratio tests for high dimensional data

This paper considers the asymptotic power of likelihood ratio test (LRT) for the identity test when the dimension p is large compared to the sample size n. The asymptotic distribution of LRT under alternatives is given and an explicit expression of the power is derived. A simulation study is carried out to compare LRT with other tests. All these studies show that LRT is a powerful test to detect eigenvalues around zero. Key words and phrases: Covariance matrix, High dimensional data, Identity test, Likelihood ratio test, Power

preprint2013arXivOpen access
Cheng WangLongbing CaoBaiqi Miao
math.STStatistics Theory
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Cheng WangLongbing CaoBaiqi Miao

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