STA 290 Seminar Series
Monday, March 2nd 2015, 4:10pm, MSB 1147 (Colloquium Room)
Refreshments at 3:30pm in MSB 4110 (Statistics Lounge)
Speaker: Yin Xia (University of North Carolina, Chapel Hill)
Title: Testing of High-Dimensional Covariance Structures
Abstract: Motivated by a range of applications, we consider in this talk in the high-dimensional setting several interrelated testing problems on the covariance structures. We begin by considering testing the equality of two covariance matrices and investigate its theoretical and numerical properties. The limiting null distribution of the test statistics is derived and the power of the test is studied. In addition, some related testing problems, including robust multiple testing of covariance matrices and testing of large precision matrices, will be discussed.