An Improvement on the Hotelling T² Test Using the Ledoit-Wolf Nonlinear Shrinkage Estimator

arXiv2202.12725MaRDI QIDQ6392153FDOQ6392153

Authors: Benjamin D. Robinson, Robert Malinas, Van Latimer, Beth Bjorkman Morrison, Alfred O. III Hero 

Publication date: 25 February 2022

Abstract: Hotelling's $T^2$ test is a classical approach for discriminating the means of two multivariate normal samples that share a population covariance matrix. Hotelling's test is not ideal for high-dimensional samples because the eigenvalues of the estimated sample covariance matrix are inconsistent estimators for their population counterparts. We replace the sample covariance matrix with the nonlinear shrinkage estimator of Ledoit and Wolf 2020. We observe empirically for sub-Gaussian data that the resulting algorithm dominates past methods (Bai and Saranadasa 1996, Chen and Qin 2010, and Li et al. 2020) for a family of population covariance matrices that includes matrices with high or low condition number and many or few nontrivial -- i.e., spiked -- eigenvalues.

This page was built for publication: An Improvement on the Hotelling $T^2$ Test Using the Ledoit-Wolf Nonlinear Shrinkage Estimator

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6392153)