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Asymptotic power of Rao's score test for independence in high dimensions

Leung, D; Shao, QM

Leung, D (reprint author), Univ Southern Calif, Dept Data Sci & Operat, Los Angeles, CA 90089 USA.

BERNOULLI, 2019; 25 (1): 241

Abstract

Let R be the Pearson correlation matrix of m normal random variables. The Rao's score test for the independence hypothesis H-0 : R = I-m , where I-m i......

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