On testing the equality of high dimensional mean vectors with unequal covariance matrices
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Abstract: In this article, we focus on the problem of testing the equality of several high dimensional mean vectors with unequal covariance matrices. This is one of the most important problem in multivariate statistical analysis and there have been various tests proposed in the literature. Motivated by citet{BaiS96E} and cite{ChenQ10T}, a test statistic is introduced and the asymptomatic distributions under the null hypothesis as well as the alternative hypothesis are given. In addition, it is compared with a test statistic recently proposed by cite{SrivastavaK13Ta}. It is shown that our test statistic performs much better especially in the large dimensional case.
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Cited in
(42)- Homogeneity tests for high-dimensional mean vectors and covariance matrices
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- A two-sample test for the equality of univariate marginal distributions for high-dimensional data
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- An RIHT statistic for testing the equality of several high-dimensional mean vectors under homoskedasticity
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