Two sample tests for high-dimensional covariance matrices

DOI10.48550/ARXIV.1206.0917MaRDI QIDQ150754zbMATH OpenFDO

Authors Jun Li, Song Xi Chen

Publication date 5 June 2012

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1206.0917, https://projecteuclid.org/euclid.aos/1338515142

zbMATH Keywords

high-dimensional covariancelarge \(p\), small \(n\)likelihood ratio testtesting for gene-sets

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Hypothesis testing in multivariate analysis (62H15)

Abstract: We propose two tests for the equality of covariance matrices between two high-dimensional populations. One test is on the whole variance--covariance matrices, and the other is on off-diagonal sub-matrices, which define the covariance between two nonoverlapping segments of the high-dimensional random vectors. The tests are applicable (i) when the data dimension is much larger than the sample sizes, namely the "large $p$, small $n$" situations and (ii) without assuming parametric distributions for the two populations. These two aspects surpass the capability of the conventional likelihood ratio test. The proposed tests can be used to test on covariances associated with gene ontology terms.

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