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Asymptotic distribution of correlation matrix under blocked compound symmetric covariance structure
Random Matrices: Theory and Applications ( IF 0.9 ) Pub Date : 2021-07-01 , DOI: 10.1142/s2010326322500162
Shin-ichi Tsukada 1
Affiliation  

Assuming a covariance structure with blocked compound symmetry, it was showed that unbiased estimators for the covariance matrices are optimal under normality. In this paper, we derive the asymptotic distribution of the correlation matrix using unbiased estimators and discuss its use in hypothesis testing. The accuracy of the result is investigated through numerical simulation and the method is applied to real data.

中文翻译:

阻塞复合对称协方差结构下相关矩阵的渐近分布

假设具有阻塞复合对称性的协方差结构,表明协方差矩阵的无偏估计量在正态性下是最优的。在本文中,我们使用无偏估计量推导出相关矩阵的渐近分布,并讨论其在假设检验中的用途。通过数值模拟研究了结果的准确性,并将该方法应用于实际数据。
更新日期:2021-07-01
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