Estimations for some functions of covariance matrix in high dimension under non-normality and its applications

Abstract

When we consider a statistical test in the high dimensional case, we often need estimators of the functions of the covariance matrix Σ . Especially, it is needed to estimate a 2 = ( 1 / p ) tr Σ 2 . The unbiased and consistent estimator of a 2 is proposed in preceding study when the population distribution is multivariate normal. But it is difficult to estimate in the non-normal case. So we propose the unbiased and consistent estimators for some functions of covariance matrix including a 2 under the non-normal case. Through the numerical simulation, we confirmed the accuracy of the approximation of our proposed estimators. Using proposed estimators, we proposed a test for assessing multivariate normality of the high-dimensional data.