Distribution and correlation-free two-sample test of high-dimensional means
نویسندگان
چکیده
منابع مشابه
Two-Sample Test of High Dimensional Means under Dependency
This paper considers in the high dimensional setting a canonical testing problem in multivariate analysis, namely testing the equality of two mean vectors. We introduce a new test statistic that is based on a linear transformation of the data by the precision matrix which incorporates the correlations among the variables. Limiting null distribution of the test statistic and the power of the tes...
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متن کاملSupplemental Material: Two-Sample Tests for High Dimensional Means with Thresholding and Data Transformation
The supplement provides the proofs of Lemmas 1-8 and Theorems 1-3, which are omitted in the original paper. More simulation studies based on Gamma distribution are demonstrated to compare the powers of six tests. 1. PROOFS OF LEMMAS 1-8 Lemma 1. We denote δk = μ1k − μ2k. As x = o(n 1 3 ), P(nTnk + 1 > x) = {1 + o(1)}I( √ n|δk| > √ x) + [ Φ̄( √ x− √ n|δk|) + Φ̄( √ x+ √ n|δk|) ] {1 +O(n−1/6) +O( 3/...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2020
ISSN: 0090-5364
DOI: 10.1214/19-aos1848