A one-sample location test based on weighted averaging of two test statistics when the dimension and the sample size are large

DOI10.1080/03610926.2015.1066812zbMATH Open1368.62150arXiv1405.2370OpenAlexW2344823191MaRDI QIDQ4976231FDOQ4976231

Authors: Masashi Hyodo, Takahiro Nishiyama 

Publication date: 27 July 2017

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Abstract: We discuss a one-sample location test that can be used in the case of high-dimensional data. For high-dimensional data, the power of Hotelling's test decrises when the dimension is close to the sample size. To address this loss of power, some non-exact approaches were proposed, e.g., Dempster (1958, 1960), Bai and Saranadasa (1996) and Srivastava and Du (2006). In this paper, we focus on Hotelling's test and Dempster's test. The comparative merits and demerits of these two tests vary according to the local parameters. In particular, we consider the situation where it is difficult to determine which test should be used, that is, where the two tests are asymptotically equivalent in terms of local power. We propose a new statistic based on the weighted averaging of Hotelling's $T^2$ statistic and Dempster's statistic that can be applied in such a situation. Our weight is determined on the basis of the maximum local asymptotic power on a restricted parameter space that induces local asymptotic equivalence between Hotelling's test and Dempster's test. In addition, some good asymptotic properties with respect to the local power are shown. Numerical results show that our test is more stable than Hotelling's $T^2$ statistic and Dempster's statistic in most parameter settings.

Full work available at URL: https://arxiv.org/abs/1405.2370

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zbMATH Keywords

high-dimensional dataasymptotic power\(T^2\)-statisticone-sample location testDempster's test

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Cites Work

• Multivariate Theory for Analyzing High Dimensional Data
• A test for the mean vector with fewer observations than the dimension
• A Significance Test for the Separation of Two Highly Multivariate Small Samples
• Multiple Comparisons Among Mean Vectors When the Dimension is Larger Than the Total Sample Size
• Testing linear hypotheses of mean vectors for high-dimension data with unequal covariance matrices
• Asymptotic Results of a High Dimensional MANOVA Test and Power Comparison When the Dimension is Large Compared to the Sample Size
• A High Dimensional Two Sample Significance Test

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