A two-sample test statistic for high-dimensional multivariate data under non-normality
2011 (English)Report (Other academic)
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).
Place, publisher, year, edition, pages
Linköping, 2011. , 17 p.
LiTH-MAT-R, ISSN 0348-2960 ; 2011:12
two-sample test, high-dimensionality, U-statistics
Algebra and Logic
IdentifiersURN: urn:nbn:se:liu:diva-70060Local ID: LiTH-MAT-R-2011-12OAI: oai:DiVA.org:liu-70060DiVA: diva2:435096