An adaptable generalization of Hotelling's T^2 test in high dimension
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DOI10.1214/19-AOS1869zbMATH Open1451.62083OpenAlexW3042820579MaRDI QIDQ151159FDOQ151159
Authors: Haoran Li, Alexander Aue, Debashis Paul, Jie Peng, Pei Wang, Hao-Ran Li, Alexander Aue, Debashis Paul, Jie Peng, Pei Wang 
Publication date: 28 September 2016
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: We propose a two-sample test for detecting the difference between mean vectors in a high-dimensional regime based on a ridge-regularized Hotelling's . To choose the regularization parameter, a method is derived that aims at maximizing power within a class of local alternatives. We also propose a composite test that combines the optimal tests corresponding to a specific collection of local alternatives. Weak convergence of the stochastic process corresponding to the ridge-regularized Hotelling's is established and used to derive the cut-off values of the proposed test. Large sample properties are verified for a class of sub-Gaussian distributions. Through an extensive simulation study, the composite test is shown to compare favorably against a host of existing two-sample test procedure in a wide range of settings. The performance of the proposed test procedure is illustrated through an application to a breast cancer data set where the goal is to detect the pathways with different DNA copy number alterations across breast cancer subtypes.
Full work available at URL: https://arxiv.org/abs/1609.08725
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hypothesis testingrandom matrix theorycovariance matrixasymptotic propertyHotelling's \(T^2\) statisticlocally most powerful tests
Applications of statistics to biology and medical sciences; meta analysis (62P10) Gaussian processes (60G15) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20) Analysis of variance and covariance (ANOVA) (62J10) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)
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Cited In (27)
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