A simultaneous test of mean vector and covariance matrix in high-dimensional settings

DOI10.1016/J.JSPI.2020.09.003zbMATH Open1460.62086OpenAlexW3095146290MaRDI QIDQ830690FDOQ830690

N. E. Zubov

Publication date: 7 May 2021

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2020.09.003

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zbMATH Keywords

high-dimensional dataasymptotic distributionsmartingale central limit theoremsimultaneous test

Mathematics Subject Classification ID

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

Cites Work

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• A two-sample test for high-dimensional data with applications to gene-set testing
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• Tests for High-Dimensional Covariance Matrices
• A test for the mean vector with fewer observations than the dimension
• A test for the mean vector in large dimension and small samples
• Minimax bounds for sparse PCA with noisy high-dimensional data
• Testing linear hypotheses of mean vectors for high-dimension data with unequal covariance matrices
• A high dimensional two-sample test under a low dimensional factor structure
• Simultaneous testing of mean vector and covariance matrix for high-dimensional data
• On two-sample mean tests under spiked covariances
• On LR simultaneous test of high-dimensional mean vector and covariance matrix under non-normality
• A test for the \(k\) sample Behrens-Fisher problem in high dimensional data
• Analysis of high-dimensional one group repeated measures designs
• On Estimation of the Noise Variance in High Dimensional Probabilistic Principal Component Analysis
• A test on linear hypothesis of \(k\)-sample means in high-dimensional data

Cited In (7)

• On LR simultaneous test of high-dimensional mean vector and covariance matrix under non-normality
• Testing homogeneity of mean vectors under heteroscedasticity in high-dimension
• Tests for parallelism and flatness hypotheses of two mean vectors in high-dimensional settings
• Simulation‐based hypothesis testing of high dimensional means under covariance heterogeneity
• A simultaneous testing of the mean vector and the covariance matrix among two populations for high-dimensional data
• ON TESTING STRUCTURE OF COVARIANCE MATRIX AND MEAN VECTOR OF A COMPLEX MULTIVARIATE GAUSSIAN MODEL
• Distribution-free tests of mean vectors and covariance matrices for multivariate paired data

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