A Cramér moderate deviation theorem for Hotelling's T^2-statistic with applications to global tests

DOI10.1214/12-AOS1082zbMATH Open1347.62032arXiv1304.2180OpenAlexW1984216002MaRDI QIDQ1952452FDOQ1952452

Authors: Weidong Liu, Q. M. Shao 

Publication date: 30 May 2013

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

Abstract: A Cramer moderate deviation theorem for Hotelling's $T^2$-statistic is proved under a finite $(3+delta)$th moment. The result is applied to large scale tests on the equality of mean vectors and is shown that the number of tests can be as large as $e^{o(n^{1/3})}$ before the chi-squared distribution calibration becomes inaccurate. As an application of the moderate deviation results, a global test on the equality of m mean vectors based on the maximum of Hotelling's $T^2$-statistics is developed and its asymptotic null distribution is shown to be an extreme value type I distribution. A novel intermediate approximation to the null distribution is proposed to improve the slow convergence rate of the extreme distribution approximation. Numerical studies show that the new test procedure works well even for a small sample size and performs favorably in analyzing a breast cancer dataset.

Full work available at URL: https://arxiv.org/abs/1304.2180

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zbMATH Keywords

FDRgene selectionglobal testsHotelling's \(T^{2}\)-statisticbrain structuresimultaneous hypothesis testsCramér moderate deviation

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10) Large deviations (60F10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

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Cited In (14)

• Joint test for homogeneity of high-dimensional means and covariance matrices using maximum-type statistics
• A tuning-free efficient test for marginal linear effects in high-dimensional quantile regression
• Asymptotic properties for quadratic functionals of linear self-repelling diffusion process and applications
• Simultaneous inference for pairwise graphical models with generalized score matching
• A Cramér moderate deviation theorem for Hotelling's \(T^{2}\)-statistic with applications to global tests
• Stein's method for nonlinear statistics: a brief survey and recent progress
• Moderate deviations and nonparametric inference for monotone functions
• Self-normalization: taming a wild population in a heavy-tailed world
• Refined Cramér-type moderate deviation theorems for general self-normalized sums with applications to dependent random variables and winsorized mean
• Self-normalized Cramér type moderate deviations for stationary sequences and applications
• Self-normalized Cramér-type moderate deviations under dependence
• Cramér-type moderate deviation for the maximum of the periodogram with application to simultaneous tests in gene expression time series
• Higher criticism for large-scale inference, especially for rare and weak effects
• Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process

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