Asymptotically independent U-statistics in high-dimensional testing
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Publication:2656592
DOI10.1214/20-AOS1951zbMATH Open1461.62233arXiv1809.00411OpenAlexW3126577372MaRDI QIDQ2656592FDOQ2656592
Authors: Yinqiu He, Gongjun Xu, Chong Wu, Wei Pan 
Publication date: 11 March 2021
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: Many high-dimensional hypothesis tests aim to globally examine marginal or low-dimensional features of a high-dimensional joint distribution, such as testing of mean vectors, covariance matrices and regression coefficients. This paper constructs a family of U-statistics as unbiased estimators of the -norms of those features. We show that under the null hypothesis, the U-statistics of different finite orders are asymptotically independent and normally distributed. Moreover, they are also asymptotically independent with the maximum-type test statistic, whose limiting distribution is an extreme value distribution. Based on the asymptotic independence property, we propose an adaptive testing procedure which combines -values computed from the U-statistics of different orders. We further establish power analysis results and show that the proposed adaptive procedure maintains high power against various alternatives.
Full work available at URL: https://arxiv.org/abs/1809.00411
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