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Robust high dimensional M-test using regularized geometric median covariance

The original M-test used for testing equality of several independent samples covariance matrices is developed based on likelihood ratio test under assumption of multivariate normality distribution, is sensitive to presence of outliers in the data. The test is fast achieving significant distinction i...

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Main Author: Kehinde, Alo Olusegun
Format: Thesis
Language:English
Published: 2018
Subjects:
QA Mathematics
Online Access:https://etd.uum.edu.my/8528/1/s96163_01.pdf
https://etd.uum.edu.my/8528/
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spelling my.uum.etd.85282025-01-20T02:27:59Z https://etd.uum.edu.my/8528/ Robust high dimensional M-test using regularized geometric median covariance Kehinde, Alo Olusegun QA Mathematics The original M-test used for testing equality of several independent samples covariance matrices is developed based on likelihood ratio test under assumption of multivariate normality distribution, is sensitive to presence of outliers in the data. The test is fast achieving significant distinction in many areas of economics and financial market. 2018 Thesis NonPeerReviewed text en https://etd.uum.edu.my/8528/1/s96163_01.pdf Kehinde, Alo Olusegun (2018) Robust high dimensional M-test using regularized geometric median covariance. Doctoral thesis, Universiti Utara Malaysia.
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Electronic Theses
url_provider http://etd.uum.edu.my/
language English
topic QA Mathematics
spellingShingle QA Mathematics
Kehinde, Alo Olusegun
Robust high dimensional M-test using regularized geometric median covariance
description The original M-test used for testing equality of several independent samples covariance matrices is developed based on likelihood ratio test under assumption of multivariate normality distribution, is sensitive to presence of outliers in the data. The test is fast achieving significant distinction in many areas of economics and financial market.
format Thesis
author Kehinde, Alo Olusegun
author_facet Kehinde, Alo Olusegun
author_sort Kehinde, Alo Olusegun
title Robust high dimensional M-test using regularized geometric median covariance
title_short Robust high dimensional M-test using regularized geometric median covariance
title_full Robust high dimensional M-test using regularized geometric median covariance
title_fullStr Robust high dimensional M-test using regularized geometric median covariance
title_full_unstemmed Robust high dimensional M-test using regularized geometric median covariance
title_sort robust high dimensional m-test using regularized geometric median covariance
publishDate 2018
url https://etd.uum.edu.my/8528/1/s96163_01.pdf
https://etd.uum.edu.my/8528/
_version_ 1823095824995844096
score 13.244413

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