A new test for sphericity of the covariance matrix for high dimensional data

In this paper we propose a new test procedure for sphericity of the covariance matrix when the dimensionality, p, exceeds that of the sample size, N=n+1. Under the assumptions that (A) 0~ for i=1,...,16 and (B) p/n->c ~. Our simulation results show that the new test is comparable to, and in some cases more powerful than, the tests for sphericity in the current literature.

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