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Abstract Details

Activity Number: 63
Type: Topic Contributed
Date/Time: Sunday, July 29, 2012 : 4:00 PM to 5:50 AM
Sponsor: ENAR
Abstract - #304241
Title: Empirical Likelihood Method for a High-Dimensional Covariance Matrix
Author(s): Liang Peng*+
Companies: Georgia Institute of Technology
Address: School of Mathematics, Atlanta, GA, 30332-0160, United States
Keywords: Empirical Likelihood ; High dimension ; covariance matrix

It is of interest to test some special structure of a high dimensional covariance matrix such as banded structure. We propose a novel empirical likelihood method which works for both fixed and divergent dimension. The asymptotic limit of the new test is always a chi-square distribution so that no ad hoc approach is needed to obtain critical points.

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