most citedMulti-level Thresholding Test for High Dimensional Covariance Matrices

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math.ST2019★ 1 cited

Multi-level Thresholding Test for High Dimensional Covariance Matrices

Song Xi Chen, Bin Guo, Yumou Qiu

We consider testing the equality of two high-dimensional covariance matrices by carrying out a multi-level thresholding procedure, which is designed to detect sparse and faint diff…