Tests for high-dimensional data based on means, spatial signs and spatial ranks

DOI10.1214/16-AOS1467zbMATH Open1368.62147arXiv1505.05691OpenAlexW2962854806MaRDI QIDQ2012205FDOQ2012205

Probal Chaudhuri, Anirvan Chakraborty

Publication date: 28 July 2017

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

Abstract: Tests based on sample mean vectors and sample spatial signs have been studied in the recent literature for high dimensional data with the dimension larger than the sample size. For suitable sequences of alternatives, we show that the powers of the mean based tests and the tests based on spatial signs and ranks tend to be same as the data dimension grows to infinity for any sample size, when the coordinate variables satisfy appropriate mixing conditions. Further, their limiting powers do not depend on the heaviness of the tails of the distributions. This is in striking contrast to the asymptotic results obtained in the classical multivariate setup. On the other hand, we show that in the presence of stronger dependence among the coordinate variables, the spatial sign and rank based tests for high dimensional data can be asymptotically more powerful than the mean based tests if in addition to the data dimension, the sample size also grows to infinity. The sizes of some mean based tests for high dimensional data studied in the recent literature are observed to be significantly different from their nominal levels. This is due to the inadequacy of the asymptotic approximations used for the distributions of those test statistics. However, our asymptotic approximations for the tests based on spatial signs and ranks are observed to work well when the tests are applied on a variety of simulated and real datasets.

Full work available at URL: https://arxiv.org/abs/1505.05691

zbMATH Keywords

ARMA processespermutation testsstationary sequencesheavy tailed distributions\(\rho\)-mixingspherical distributionsrandomly scaled \(\rho\)-mixing

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Stationary stochastic processes (60G10)

Cited In (21)

• Recent developments in high-dimensional inference for multivariate data: parametric, semiparametric and nonparametric approaches
• Robust multivariate nonparametric tests via projection averaging
• A simpler spatial-sign-based two-sample test for high-dimensional data
• Multivariate sign-based high-dimensional tests for sphericity
• Robust inference for change points in high dimension
• Functional central limit theorem and Marcinkiewicz strong law of large numbers for Hilbert-valued \(U\)-statistics of absolutely regular data
• Distribution and quantile functions, ranks and signs in dimension \(d\): a measure transportation approach
• Some clustering-based exact distribution-free \(k\)-sample tests applicable to high dimension, low sample size data
• An adaptive weighted component test for high-dimensional means
• Robust change-point detection for functional time series based on \(U\)-statistics and dependent wild bootstrap
• Sign-based test for mean vector in high-dimensional and sparse settings
• An inverse norm weight spatial sign test for high-dimensional directional data
• An overview of tests on high-dimensional means
• Comparison of a large number of regression curves
• Some high-dimensional one-sample tests based on functions of interpoint distances
• A high-dimensional spatial rank test for two-sample location problems
• On eigenvalues of a high-dimensional spatial-sign covariance matrix
• Spatial rank-based high-dimensional change point detection via random integration
• An adaptable generalization of Hotelling's $T^2$ test in high dimension
• Multi-sample comparison using spatial signs for infinite dimensional data
• Multiple-output quantile regression neural network

This page was built for publication: Tests for high-dimensional data based on means, spatial signs and spatial ranks

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2012205)