This paper describes the derivation of a new property of the Wishart distribution when the degrees of freedom and the sizes of scale matrices grow simultaneously. In particular, the asymptotic normality of the trace of the product of four independent Wishart matrices is demonstrated for a high-dimensional asymptotic regime. As an application of the result, a statistical test procedure for the common principal components hypothesis is proposed. For this problem, the proposed test statistic is asymptotically normal under the null hypothesis and diverges to positive infinity in probability under the alternative hypothesis.
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Numerical Analysis
- Statistics, Probability and Uncertainty