Tail approximations for the Student t-, F-, and Welch statistics for non-normal and not necessarily i.i.d. random variables

DOI10.3150/13-BEJ552MaRDI QIDQ470067zbMATH OpenOpenAlexFDO

Authors Dmitrii Zholud

Publication date 11 November 2014

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1410.6033, https://projecteuclid.org/euclid.bj/1411134455

zbMATH Keywords

outliersdependent random variablessmall sample sizetest power\(F\)-testhigh-throughput screeningnon-homogeneous datanon-normal population distributionStudent's one- and two-sample \(t\)-statisticssystematic effectsWelch statistics

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Approximations to statistical distributions (nonasymptotic) (62E17)

Abstract: Let $T$ be the Student one- or two-sample $t$-, $F$-, or Welch statistic. Now release the underlying assumptions of normality, independence and identical distribution and consider a more general case where one only assumes that the vector of data has a continuous joint density. We determine asymptotic expressions for $mathbfP(T>u)$ as $uoinfty$ for this case. The approximations are particularly accurate for small sample sizes and may be used, for example, in the analysis of High-Throughput Screening experiments, where the number of replicates can be as low as two to five and often extreme significance levels are used. We give numerous examples and complement our results by an investigation of the convergence speed - both theoretically, by deriving exact bounds for absolute and relative errors, and by means of a simulation study.

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Cites work

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Cited in

(4)

• scientific article; zbMATH DE number 740442 (Why is no real title available?)
• Robustness and accuracy of methods for high dimensional data analysis based on Student's \(t\)-statistic
• Tail approximations for the Student \(t\)-, \(F\)-, and Welch statistics for non-normal and not necessarily i.i.d. random variables
• On the heavy-tailedness of Student's t-statistic

Describes a project that uses

Uses Software

• SmartTail
• Matlab
• Mathematica

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