Testing for subsphericity when n and p are of different asymptotic order

: Virta Joni

Publisher: Elsevier B.V.

: 2021

: Statistics and Probability Letters

: 109209

: 179

: 1879-2103

DOI: https://doi.org/10.1016/j.spl.2021.109209

: https://www.sciencedirect.com/science/article/pii/S0167715221001711?via%3Dihub

: https://research.utu.fi/converis/portal/detail/Publication/66895780

We extend a test of subsphericity to the high-dimensional Gaussian regime where the spikes diverge to infinity and p/n → {0, ∞}. The test is used to derive a consistent estimator for the latent dimension of the model.

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