Testing the Diagonality of a Large Covariance Matrix in a Regression Setting
回归设定下大型协方差矩阵的对角性检验
In multivariate analysis, the covariance matrix associated with a set of variables of interest (namely response variables) commonly contains valuable information about the dataset. When the dimension of response variables is considerably larger than the sample size, it is a nontrivial task to assess whether there are linear relationships between the variables. It is even more challenging to determine whether a set of explanatory variables can explain those relationships. To…