Specification tests for covariance structures in high-dimensional statistical models
高维统计模型中协方差结构的设定检验
Summary We consider testing the covariance structure in statistical models. We focus on developing such tests when the random vectors of interest are not directly observable and have to be derived via estimated models. Additionally, the covariance specification may involve extra nuisance parameters which also need to be estimated. In a generic additive model setting, we develop and investigate test statistics based on the maximum discrepancy measure calculated from the…