Two‐sample test of high dimensional means under dependence

The 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 correlation...

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Veröffentlicht in:	Journal of the Royal Statistical Society. Series B, Statistical methodology Statistical methodology, 2014-03, Vol.76 (2), p.349-372
Hauptverfasser:	Tony Cai, T, Liu, Weidong, Xia, Yin
Format:	Artikel
Sprache:	eng
Schlagworte:	Correlation covariance Covariance matrix equations Extreme value distribution High dimensional test Hypothesis testing Limiting null distribution Linear models Multivariate analysis Power Precision matrix Simulation Statistical methods Statistics Studies Testing equality of mean vectors
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