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A two-sample test statistic for high-dimensional multivariate data under non-normality
Linköpings universitet, Matematiska institutionen, Matematisk statistik. Linköpings universitet, Tekniska högskolan.
2011 (engelsk)Rapport (Annet vitenskapelig)
Abstract [en]

Ahmad, Ohlson, and von Rosen (2011a) present asymptotic distribution of a one-sample test statistic under non-normality, when the data are high dimensional, i.e., when the dimension of the vector, p, may exceed the sample size, n. This paper extends the case to a two-sample statistic to test the difference of mean vectors of two independent multivariate distributions, again under high-dimensional set up. Using the asymptotic theory of U-statistics, and under mild assumptions on the traces of the unknown covariance matrices, the statistic is shown to follow an approximate normal distribution when n and p are large. However, no relationship between n and p is assumed. An extension to the paired case is given, which, being essentially a one-sample statistic, supplements the asymptotic results obtained in Ahmad, Ohlson, and von Rosen (2011a).

sted, utgiver, år, opplag, sider
Linköping, 2011. , s. 17
Serie
LiTH-MAT-R, ISSN 0348-2960 ; 2011:12
Emneord [en]
two-sample test, high-dimensionality, U-statistics
HSV kategori
Identifikatorer
URN: urn:nbn:se:liu:diva-70060Lokal ID: LiTH-MAT-R-2011-12OAI: oai:DiVA.org:liu-70060DiVA, id: diva2:435096
Tilgjengelig fra: 2011-08-17 Laget: 2011-08-17 Sist oppdatert: 2013-11-26

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