L² Asymptotics for High-Dimensional Data

MaRDI QIDQ6251905zbMATH OpenFDO

Authors Mengyu Xu, Danna Zhang, Wei Biao Wu

Publication date 28 May 2014

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Hypothesis testing in multivariate analysis (62H15)

Abstract: We develop an asymptotic theory for $L^2$ norms of sample mean vectors of high-dimensional data. An invariance principle for the $L^2$ norms is derived under conditions that involve a delicate interplay between the dimension $p$, the sample size $n$ and the moment condition. Under proper normalization, central and non-central limit theorems are obtained. To facilitate the related statistical inference, we propose a plug-in calibration method and a re-sampling procedure to approximate the distributions of the $L^2$ norms. Our results are applied to multiple tests and inference of covariance matrix structures.

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