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20172023
most citedOptimal modification of the LRT for the equality of two high-dimensional covariance matrices

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math.ST2017★ 2 cited

Optimal modification of the LRT for the equality of two high-dimensional covariance matrices

Qiuyan Zhang, Jiang Hu, Zhidong Bai

This paper considers the optimal modification of the likelihood ratio test (LRT) for the equality of two high-dimensional covariance matrices. The classical LRT is not well defined…