Mean vector testing for high-dimensional dependent observations
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Publication:2374404
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.
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Cites work
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Cited in
(15)- An Inverse Norm Sign Test of Location Parameter for High-Dimensional Data
- Two sample tests for high-dimensional autocovariances
- Hypothesis testing for high-dimensional time series via self-normalization
- scientific article; zbMATH DE number 7376764 (Why is no real title available?)
- scientific article; zbMATH DE number 5952281 (Why is no real title available?)
- Adaptive test for mean vectors of high-dimensional time series data with factor structure
- Test for high-dimensional mean vector under missing observations
- Testing homogeneity of mean vectors under heteroscedasticity in high-dimension
- Tests of Concentration for Low-Dimensional and High-Dimensional Directional Data
- Estimating and testing conditional sums of means in high dimensional multivariate binary data
- A Pairwise Hotelling Method for Testing High-Dimensional Mean Vectors
- Sign-based test for mean vector in high-dimensional and sparse settings
- Distribution and correlation-free two-sample test of high-dimensional means
- Mean tests for high-dimensional time series
- Hotelling's \(T^2\) in separable Hilbert spaces
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