Fisher’s Combined Probability Test for High-Dimensional Covariance Matrices

DOI10.1080/01621459.2022.2126781arXiv2006.00426OpenAlexW3028980443MaRDI QIDQ6154010FDOQ6154010

Authors: Xiufan Yu, Danning Li, Lingzhou Xue 

Publication date: 19 March 2024

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Abstract: Testing large covariance matrices is of fundamental importance in statistical analysis with high-dimensional data. In the past decade, three types of test statistics have been studied in the literature: quadratic form statistics, maximum form statistics, and their weighted combination. It is known that quadratic form statistics would suffer from low power against sparse alternatives and maximum form statistics would suffer from low power against dense alternatives. The weighted combination methods were introduced to enhance the power of quadratic form statistics or maximum form statistics when the weights are appropriately chosen. In this paper, we provide a new perspective to exploit the full potential of quadratic form statistics and maximum form statistics for testing high-dimensional covariance matrices. We propose a scale-invariant power enhancement test based on Fisher's method to combine the p-values of quadratic form statistics and maximum form statistics. After carefully studying the asymptotic joint distribution of quadratic form statistics and maximum form statistics, we prove that the proposed combination method retains the correct asymptotic size and boosts the power against more general alternatives. Moreover, we demonstrate the finite-sample performance in simulation studies and a real application.

Full work available at URL: https://arxiv.org/abs/2006.00426

zbMATH Keywords

high-dimensional inferenceFisher's methodpower enhancementjoint limiting lawlarge covariance structureLyapunov-type bound

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited In (1)

• Use of Random Integration to Test Equality of High Dimensional Covariance Matrices

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