Title: Testing high dimensional correlation matrix
Authors: Shurong Zheng - Northeast Normal University (China) [presenting]
Abstract: Statistical inferences about sample correlation matrices are of fundamental importance in multivariate analysis, but encounter enormous challenges in the high-dimensional setting. The aim is to test the general structures of high-dimensional correlation matrices. A test statistic is proposed. The limiting null distribution of the test statistic is derived using the random matrix theories. Extensive simulation studies are conducted to demonstrate the finite sample performance of the proposed test. Moreover, two real data examples are provided to show the applicability and the practical utility of the test.