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Robust high dimensional M-test using regularized geometric median covariance

Kehinde, Alo Olusegun (2018) Robust high dimensional M-test using regularized geometric median covariance. Doctoral thesis, Universiti Utara Malaysia.

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Abstract

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.

Item Type: Thesis (Doctoral)
Supervisor : Sharif, Shamshuritawati
Item ID: 8528
Uncontrolled Keywords: Covariance matrix, High dimension, M-test, Regularization methods, Outliers.
Subjects: Q Science > QA Mathematics
Divisions: Awang Had Salleh Graduate School of Arts & Sciences
Date Deposited: 20 Jan 2025 02:27
Last Modified: 20 Jan 2025 02:27
Department: Awang Had Salleh Graduate School of Arts & Sciences
Name: Sharif, Shamshuritawati
URI: https://etd.uum.edu.my/id/eprint/8528

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