Two sample tests for high-dimensional covariance matrices

DOI10.48550/ARXIV.1206.0917zbMATH Open1274.62383arXiv1206.0917MaRDI QIDQ150754FDOQ150754

Jun Li, Song Xi Chen

Publication date: 5 June 2012

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

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.

Full work available at URL: https://arxiv.org/abs/1206.0917

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)

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