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

DOI10.1214/12-AOS1082MaRDI QIDQ1952452zbMATH OpenOpenAlexFDO

Authors Weidong Liu, Q. M. Shao

Publication date 30 May 2013

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

Full work available at URL https://arxiv.org/abs/1304.2180, https://projecteuclid.org/euclid.aos/1364302744

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)

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.

Recommendations

• Central limit theorem for Hotelling's \(T^{2}\) statistic under large dimension
• Inference for the mean of large \(p\) small \(n\) data: a finite-sample high-dimensional generalization of Hotelling's theorem
• An adaptable generalization of Hotelling's T^2 test in high dimension
• Cramér-type moderate deviations for Studentized two-sample U-statistics with applications
• Extremal probabilistic problems and Hotelling's \(T^ 2\) test under a symmetry condition

Cites work

• scientific article; zbMATH DE number 1964693 (Why is no real title available?)
• A Cramér moderate deviation theorem for Hotelling's \(T^{2}\)-statistic with applications to global tests
• A Cramér type large deviation result for Student's \(t\)-statistic
• A two-sample test for high-dimensional data with applications to gene-set testing
• Berry-Esseen type estimates for large deviation probabilities
• Cramér-type moderate deviation for the maximum of the periodogram with application to simultaneous tests in gene expression time series
• Higher criticism for detecting sparse heterogeneous mixtures.
• Innovated higher criticism for detecting sparse signals in correlated noise
• Large and moderate deviations for Hotelling's \(T^2\)-statistic
• On maxima of periodograms of stationary processes
• On the Gaussian approximation of convolutions under multidimensional analogues of S. N. Bernstein's inequality conditions
• Random fields of multivariate test statistics, with applications to shape analysis
• Self-Normalized Processes
• Self-normalized Cramér-type large deviations for independent random variables.
• Strong approximations of level exceedences related to multiple hypothesis testing
• The asymptotic distribution and Berry-Esseen bound of a new test for independence in high dimension with an application to stochastic optimization
• The detection of local shape changes via the geometry of Hotelling's \(T^2\) fields
• To How Many Simultaneous Hypothesis Tests Can Normal, Student'stor Bootstrap Calibration Be Applied?
• Two moments suffice for Poisson approximations: The Chen-Stein method

Cited in

(14)

• 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
• Asymptotic properties for quadratic functionals of linear self-repelling diffusion process and applications
• Self-normalized Cramér-type moderate deviations under dependence
• Joint test for homogeneity of high-dimensional means and covariance matrices using maximum-type statistics
• Cramér-type moderate deviation for the maximum of the periodogram with application to simultaneous tests in gene expression time series
• Moderate deviations and nonparametric inference for monotone functions
• Self-normalization: taming a wild population in a heavy-tailed world
• A Cramér moderate deviation theorem for Hotelling's \(T^{2}\)-statistic with applications to global tests
• 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
• A tuning-free efficient test for marginal linear effects in high-dimensional quantile regression
• Simultaneous inference for pairwise graphical models with generalized score matching
• Stein's method for nonlinear statistics: a brief survey and recent progress

This page was built for publication: A Cramér moderate deviation theorem for Hotelling's \(T^{2}\)-statistic with applications to global tests

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1952452)