Two sample tests for high-dimensional covariance matrices

DOI10.48550/ARXIV.1206.0917MaRDI QIDQ150754zbMATH OpenFDO

Authors Jun Li, Song Xi Chen

Publication date 5 June 2012

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1206.0917, https://projecteuclid.org/euclid.aos/1338515142

zbMATH Keywords

likelihood ratio testhigh-dimensional covariancelarge \(p\), small \(n\)testing for gene-sets

Mathematics Subject Classification ID

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

Abstract: We propose two tests for the equality of covariance matrices between two high-dimensional populations. One test is on the whole variance--covariance matrices, and the other is on off-diagonal sub-matrices, which define the covariance between two nonoverlapping segments of the high-dimensional random vectors. The tests are applicable (i) when the data dimension is much larger than the sample sizes, namely the "large $p$, small $n$" situations and (ii) without assuming parametric distributions for the two populations. These two aspects surpass the capability of the conventional likelihood ratio test. The proposed tests can be used to test on covariances associated with gene ontology terms.

Recommendations

• Two-sample tests for high-dimensional covariance matrices using both difference and ratio
• Tests for high-dimensional covariance matrices
• A test for the equality of covariance matrices when the dimension is large relative to the sample sizes
• Tests for high-dimensional covariance matrices
• Multi-sample test for high-dimensional covariance matrices

Cites work

• scientific article; zbMATH DE number 720689 (Why is no real title available?)
• scientific article; zbMATH DE number 1964693 (Why is no real title available?)
• scientific article; zbMATH DE number 889593 (Why is no real title available?)
• scientific article; zbMATH DE number 3338249 (Why is no real title available?)
• scientific article; zbMATH DE number 3195803 (Why is no real title available?)
• A Two-Way Semilinear Model for Normalization and Analysis of cDNA Microarray Data
• A new approach to Cholesky-based covariance regularization in high dimensions
• A test for the equality of covariance matrices when the dimension is large relative to the sample sizes
• A two-sample test for high-dimensional data with applications to gene-set testing
• A well-conditioned estimator for large-dimensional covariance matrices
• Convergence rate of expected spectral distributions of large random matrices. II: Sample covariance matrices
• Corrections to LRT on large-dimensional covariance matrix by RMT
• Covariance matrix selection and estimation via penalised normal likelihood
• Covariance regularization by thresholding
• Establishing the Positive Definiteness of the Sample Covariance Matrix
• Estimation of latent factors for high-dimensional time series
• Gene expression analysis with the parametric bootstrap
• High dimensional covariance matrix estimation using a factor model
• Higher criticism for detecting sparse heterogeneous mixtures.
• Limit of the smallest eigenvalue of a large dimensional sample covariance matrix
• Limiting laws of coherence of random matrices with applications to testing covariance structure and construction of compressed sensing matrices
• Multiple tests of association with biological annotation metadata
• Nonparametric estimation of large covariance matrices of longitudinal data
• On consistency and sparsity for principal components analysis in high dimensions
• On orthogonal and symplectic matrix ensembles
• On testing the significance of sets of genes
• On the distribution of the largest eigenvalue in principal components analysis
• Properties of higher criticism under strong dependence
• Random-set methods identify distinct aspects of the enrichment signal in gene-set analysis
• Regularized estimation of large covariance matrices
• Semilinear High-Dimensional Model for Normalization of Microarray Data
• Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
• Spectral analysis of large dimensional random matrices
• Tests for high-dimensional covariance matrices
• The sparsity and bias of the LASSO selection in high-dimensional linear regression
• To How Many Simultaneous Hypothesis Tests Can Normal, Student'stor Bootstrap Calibration Be Applied?
• Tracy-Widom limit for the largest eigenvalue of a large class of complex sample covariance matrices
• Two-Sample Covariance Matrix Testing and Support Recovery in High-Dimensional and Sparse Settings

Cited in

(only showing first 100 items - show all)

• Asymptotic power of likelihood ratio tests for high dimensional data
• A high dimensional two-sample test under a low dimensional factor structure
• Functional test for high-dimensional covariance matrix, with application to mitochondrial calcium concentration
• Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data
• Testing constancy of conditional variance in high dimension
• Joint sequential detection and isolation for dependent data streams
• Testing homogeneity of several covariance matrices and multi-sample sphericity for high-dimensional data under non-normality
• High-dimensional testing for proportional covariance matrices
• Effective Permutation Tests for Differences Across Multiple High-Dimensional Correlation Matrices
• Hypothesis testing for high-dimensional covariance matrices
• Testing and support recovery of multiple high-dimensional covariance matrices with false discovery rate control
• Test on the linear combinations of mean vectors in high-dimensional data
• Adaptive Testing for High-Dimensional Data
• Modified Pillai's trace statistics for two high-dimensional sample covariance matrices
• Two-Sample Test of High Dimensional Means Under Dependence
• Testing and signal identification for two-sample high-dimensional covariances via multi-level thresholding
• Testing block-diagonal covariance structure for high-dimensional data under non-normality
• Generalized Schott type tests for complete independence in high dimensions
• Alteration detection of tensor dependence structure via sparsity-exploited reranking algorithm
• Equality tests of covariance matrices under a low-dimensional factor structure
• NAPA: neighborhood-assisted and posterior-adjusted two-sample inference
• High-dimensional proportionality test of two covariance matrices and its application to gene expression data
• Multivariate tests of independence and their application in correlation analysis between financial markets
• Testing proportionality of two high-dimensional covariance matrices
• High-dimensional tests for spherical location and spiked covariance
• Covariance analysis for temporal data, with applications to DNA modelling
• Set-based differential covariance testing for genomics
• On testing the equality of high dimensional mean vectors with unequal covariance matrices
• scientific article; zbMATH DE number 2147964 (Why is no real title available?)
• High-dimensional behaviour of some two-sample tests based on ball divergence
• A two-sample test for high-dimensional mean vectors via double verification
• Gaussian graphical model‐based heterogeneity analysis via penalized fusion
• Asymptotic distributions for likelihood ratio tests for the equality of covariance matrices
• Asymptotic independence of spiked eigenvalues and linear spectral statistics for large sample covariance matrices
• Tests for high-dimensional covariance matrices
• A review of 20 years of naive tests of significance for high-dimensional mean vectors and covariance matrices
• Comparing large covariance matrices under weak conditions on the dependence structure and its application to gene clustering
• Non-parametric shrinkage mean estimation for quadratic loss functions with unknown covariance matrices
• Empirical likelihood test for the equality of several high-dimensional covariance matrices
• Change-point detection in high-dimensional covariance structure
• Recent developments in high-dimensional inference for multivariate data: parametric, semiparametric and nonparametric approaches
• Joint test for homogeneity of high-dimensional means and covariance matrices using maximum-type statistics
• Applications on linear spectral statistics of high-dimensional sample covariance matrix with divergent spectrum
• Two sample tests for high-dimensional autocovariances
• Two-sample tests for high-dimensional covariance matrices using both difference and ratio
• Inference for change points in high-dimensional data via selfnormalization
• Limiting behavior of eigenvalues in high-dimensional MANOVA via RMT
• Double verification for two-sample covariance matrices test
• Simultaneous covariance inference for multimodal integrative analysis
• Compressed spectral screening for large-scale differential correlation analysis with application in selecting glioblastoma gene modules
• A new method for multi-sample high-dimensional covariance matrices test based on permutation
• A high-dimensional two-sample test for the mean using random subspaces
• A global homogeneity test for high-dimensional linear regression
• A High-Dimensional Two-Sample Test for Non-Gaussian Data under a Strongly Spiked Eigenvalue Model
• Large-Scale Two-Sample Comparison of Support Sets
• A high dimensional nonparametric test for proportional covariance matrices
• High-dimensional two-sample covariance matrix testing via super-diagonals
• Robust multivariate nonparametric tests via projection averaging
• Simultaneous testing of the mean vector and covariance matrix among k populations for high-dimensional data
• Accurate inference for repeated measures in high dimensions
• Multivariate two-sample tests via random projection
• An extreme-value approach for testing the equality of large U-statistic based correlation matrices
• Sharper dimension-free bounds on the Frobenius distance between sample covariance and its expectation
• Power-Enhanced Simultaneous Test of High-Dimensional Mean Vectors and Covariance Matrices with Application to Gene-Set Testing
• Nonparametric Two-Sample Tests of High Dimensional Mean Vectors via Random Integration
• On two simple and effective procedures for high dimensional classification of general populations
• Deep knockoffs
• Central limit theorems for classical likelihood ratio tests for high-dimensional normal distributions
• Testing hypotheses about covariance matrices in general MANOVA designs
• Tests for Large-Dimensional Shape Matrices via Tyler’s M Estimators
• On two-sample mean tests under spiked covariances
• Likelihood ratio tests for high-dimensional normal distributions
• Optimal hypothesis testing for high dimensional covariance matrices
• Testing the independence of sets of large-dimensional variables
• High-dimensional MANOVA under weak conditions
• Location-invariant multi-sample \(U\)-tests for covariance matrices with large dimension
• Large-scale simultaneous testing of cross-covariance matrices with applications to PheWAS
• A two-sample test for equality of means in high dimension
• Limit theorem associated with Wishart matrices with application to hypothesis testing for common principal components
• Test for high-dimensional mean vector under missing observations
• High-dimensional rank-based inference
• Homogeneity tests of covariance for high-dimensional functional data with applications to event segmentation
• Sequential estimation of high-dimensional signal plus noise models under general elliptical frameworks
• Multi-sample test for high-dimensional covariance matrices
• High-dimensional tests for functional networks of brain anatomic regions
• Asymptotically independent U-statistics in high-dimensional testing
• Test on the linear combinations of covariance matrices in high-dimensional data
• Distributed estimation in heterogeneous reduced rank regression: with application to order determination in sufficient dimension reduction
• Testing super-diagonal structure in high dimensional covariance matrices
• Bayesian optimal two-sample tests for high-dimensional Gaussian populations
• Hypothesis Testing for Network Data with Power Enhancement
• Statistical inference under the strongly spiked eigenvalue model
• The cluster D-trace loss for differential network analysis
• Dynamic linear discriminant analysis in high dimensional space
• Testing the equality of distributions using integrated maximum mean discrepancy
• Two-sample Testing in High Dimensions
• Projected tests for high-dimensional covariance matrices
• Covariance matrix testing in high dimension using random projections
• GLHT for High-Dimensional Covariance Matrices: A Normal-Reference Approach
• Robust high-dimensional tuning free multiple testing

This page was built for publication: Two sample tests for high-dimensional covariance matrices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q150754)