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Testing high dimensional covariance matrices via posterior Bayes factor

Wang, ZD; Xu, XZ

Xu, XZ (corresponding author), Beijing Inst Technol, Beijing Key Lab MCAACI, Beijing 100081, Peoples R China.

JOURNAL OF MULTIVARIATE ANALYSIS, 2021; 181 ():

Abstract

With the advent of the era of big data, high dimensional covariance matrices are increasingly encountered and testing covariance structure has become ......

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