Work

Tests for Large-Dimensional Shape Matrices via Tyler’s M Estimators

Year: 2024

Type: article

Abstract: has a limit in (0,1). The proposed tests can be applied to a broad class of multivariate distributions including the family of elliptical distributions (see model (2.1) below for details). To analyze both the null and alternative distributions of the proposed tests, we provide a unified theory on the spectrum of a large-dimensional Tyler's M estimator when the underlying population is general. Simulation results demonstrate good performance and robustness of our tests. An empirical analysis of the Fama-French 49 industrial portfolios is carried out to demonstrate the shape of the portfolios varying.

Source: Journal of the American Statistical Association

DOI: 10.1080/01621459.2024.2350573

Authors: Runze Li, Weiming Li, Qinwen Wang

Institutions: Pennsylvania State University, Shanghai University of Finance and Economics, Fudan University

Language: English

Topic: Advanced Statistical Methods and Models

Subfield: Statistics and Probability

Field: Mathematics

Domain: Physical Sciences

Open Access status: hybrid

Funders: Natural Science Foundation of Shanghai, National Natural Science Foundation of China, National Institutes of Health, National Institute of Allergy and Infectious Diseases