Global Testing and Large-Scale Multiple Testing for High-Dimensional Covariance Structures

Posted: 21 Mar 2017

See all articles by Tony Cai

Tony Cai

University of Pennsylvania - Statistics Department

Date Written: March 2017

Abstract

Driven by a wide range of contemporary applications, statistical inference for covariance structures has been an active area of current research in high-dimensional statistics. This review provides a selective survey of some recent developments in hypothesis testing for high-dimensional covariance structures, including global testing for the overall pattern of the covariance structures and simultaneous testing of a large collection of hypotheses on the local covariance structures with false discovery proportion and false discovery rate control. Both one-sample and two-sample settings are considered. The specific testing problems discussed include global testing for the covariance, correlation, and precision matrices, and multiple testing for the correlations, Gaussian graphical models, and differential networks.

Suggested Citation

Cai, Tony, Global Testing and Large-Scale Multiple Testing for High-Dimensional Covariance Structures (March 2017). Annual Review of Statistics and Its Application, Vol. 4, Issue 1, pp. 423-446, 2017. Available at SSRN: https://ssrn.com/abstract=2937734 or http://dx.doi.org/10.1146/annurev-statistics-060116-053754

Tony Cai (Contact Author)

University of Pennsylvania - Statistics Department ( email )

Wharton School
Philadelphia, PA 19104
United States

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