Proposes ERHT-CC test based on spatial median and spatial-sign covariance with Cauchy aggregation over ridge parameters, deriving asymptotic normality and local power under elliptical symmetry.
91 Peter de Jong
2 Pith papers cite this work. Polarity classification is still indexing.
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A new test statistic and bootstrap for independence testing of high-dimensional nonstationary time series that avoids whitening by removing temporal dependence bias under the null.
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Elliptical Regularized Hotelling Testing for High Dimensional Data
Proposes ERHT-CC test based on spatial median and spatial-sign covariance with Cauchy aggregation over ridge parameters, deriving asymptotic normality and local power under elliptical symmetry.