Mean vector testing for high-dimensional dependent observations
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Publication:2374404
DOI10.1016/J.JMVA.2016.09.012zbMATH Open1351.62112arXiv1411.3390OpenAlexW2143392804MaRDI QIDQ2374404FDOQ2374404
Authors: Deepak Nag Ayyala, Junyong Park, Anindya Roy 
Publication date: 15 December 2016
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Abstract: When testing for the mean vector in a high dimensional setting, it is generally assumed that the observations are independently and identically distributed. However if the data are dependent, the existing test procedures fail to preserve type I error at a given nominal significance level. We propose a new test for the mean vector when the dimension increases linearly with sample size and the data is a realization of an M -dependent stationary process. The order M is also allowed to increase with the sample size. Asymptotic normality of the test statistic is derived by extending the central limit theorem result for M -dependent processes using two dimensional triangular arrays. Finite sample simulation results indicate the cost of ignoring dependence amongst observations.
Full work available at URL: https://arxiv.org/abs/1411.3390
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