Correlation tests for high-dimensional data using extended cross-data-matrix methodology
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Publication:391612
DOI10.1016/J.JMVA.2013.03.007zbMATH Open1277.62150arXiv1503.06492OpenAlexW2049953324MaRDI QIDQ391612FDOQ391612
Authors: Kazuyoshi Yata, Makoto Aoshima 
Publication date: 10 January 2014
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Abstract: In this paper, we consider testing the correlation coefficient matrix between two subsets of high-dimensional variables. We produce a test statistic by using the extended cross-data-matrix (ECDM) methodology and show the unbiasedness of ECDM estimator. We also show that the ECDM estimator has the consistency property and the asymptotic normality in high-dimensional settings. We propose a test procedure by the ECDM estimator and evaluate its asymptotic size and power theoretically and numerically. We give several applications of the ECDM estimator. Finally, we demonstrate how the test procedure performs in actual data analyses by using a microarray data set.
Full work available at URL: https://arxiv.org/abs/1503.06492
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Cited In (22)
- A test of sphericity for high-dimensional data and its application for detection of divergently spiked noise
- High-dimensional correlation matrix estimation for general continuous data with Bagging technique
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- A distance-based, misclassification rate adjusted classifier for multiclass, high-dimensional data
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- Testing block-diagonal covariance structure for high-dimensional data under non-normality
- Asymptotic normality for inference on multisample, high-dimensional mean vectors under mild conditions
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