Abstract

The Rao score test for a hypothesis about the Block Compound Symmetry structure of a covariance matrix will be presented and then modified to a version that is appropriate for analysis of high-dimensional data, i.e, a data matrix with increasing (at asymptotically constant ratio) numbers of columns and rows will be considered. The asymptotic distribution of the modified test statistics will be developed using tools of random matrix theory and will be an extension of earlier results regarding independence and sphericity testing.

Time: 22 May 2019, 1 - 2 pm Place: B705

Place: B705