Homogeneity tests of covariance matrices with high-dimensional longitudinal data
高维纵向数据协方差矩阵的同质性检验
Summary This paper deals with the detection and identification of changepoints among covariances of high-dimensional longitudinal data, where the number of features is greater than both the sample size and the number of repeated measurements. The proposed methods are applicable under general temporal-spatial dependence. A new test statistic is introduced for changepoint detection, and its asymptotic distribution is established. If a changepoint is detected, an estimate of…