Asymptotic inference for high-dimensional data

DOI10.1214/09-AOS718MaRDI QIDQ2380091zbMATH OpenFDO

Authors Anand N. Vidyashankar, Jim Kuelbs

Publication date 24 March 2010

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

Full work available at URL https://arxiv.org/abs/1002.4554

zbMATH Keywords

high-dimensional datashrinkagecovariance matrix estimationjoint inferencelaws of large numberslarge \(p\) small \(n\)functional genomicsmicroarraysinfinite-dimensional central limit theoremstructured covariance matrices

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to biology and medical sciences; meta analysis (62P10) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Central limit and other weak theorems (60F05)

Abstract: In this paper, we study inference for high-dimensional data characterized by small sample sizes relative to the dimension of the data. In particular, we provide an infinite-dimensional framework to study statistical models that involve situations in which (i) the number of parameters increase with the sample size (that is, allowed to be random) and (ii) there is a possibility of missing data. Under a variety of tail conditions on the components of the data, we provide precise conditions for the joint consistency of the estimators of the mean. In the process, we clarify and improve some of the recent consistency results that appeared in the literature. An important aspect of the work presented is the development of asymptotic normality results for these models. As a consequence, we construct different test statistics for one-sample and two-sample problems concerning the mean vector and obtain their asymptotic distributions as a corollary of the infinite-dimensional results. Finally, we use these theoretical results to develop an asymptotically justifiable methodology for data analyses. Simulation results presented here describe situations where the methodology can be successfully applied. They also evaluate its robustness under a variety of conditions, some of which are substantially different from the technical conditions. Comparisons to other methods used in the literature are provided. Analyses of real-life data is also included.

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Cited in

(15)

• Test for a mean vector with fixed or divergent dimension
• scientific article; zbMATH DE number 5204610 (Why is no real title available?)
• Weak convergence results for multiple generations of a branching process
• A survey of high dimension low sample size asymptotics
• High-dimensional inference using the extremal skew-\(t\) process
• Near optimal prediction from relevant components
• Nonasymptotic analysis of the Lawley-Hotelling statistic for high-dimensional data
• Asymptotic inference for high-dimensional data
• Joint regression analysis of mixed-type outcome data via efficient scores
• In defense of the indefensible: a very naïve approach to high-dimensional inference
• High-dimensional inference in misspecified linear models
• A modified neighborhood hypothesis test for population mean in functional data
• Asymptotic distribution of the maximum interpoint distance for high-dimensional data
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• Asymptotic normality for inference on multisample, high-dimensional mean vectors under mild conditions

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