Two Sample Test for Covariance Matrices in Ultra-High Dimension
超高维协方差矩阵的两样本检验
In this article, we propose a new test for testing the equality of two population covariance matrices in the ultra-high dimensional setting that the dimension is much larger than the sizes of both of the two samples.Our proposed methodology relies on a data splitting procedure and a comparison of a set of well selected eigenvalues of the sample covariance matrices on the split datasets.Compared to the existing methods, our methodology is adaptive in the sense that (i). it…