Tests for high-dimensional covariance structures under the non-strongly spiked eigenvalue model (New Developments in Statistical Model)

Abstract

In this paper, we consider tests of high-dimensional covariance structures under the nonstrongly spiked eigenvalue (NSSE) model. we produce an ECDM test statistic and propose a new test procedure based on the test statistic. We evaluate its asymptotic size and power theoretically.