Article ID Journal Published Year Pages File Type
6869287 Computational Statistics & Data Analysis 2016 14 Pages PDF
Abstract
The problem of testing the population mean vector of high-dimensional multivariate data is considered. Inspired by Roy's union-intersection test, a generalized high-dimensional likelihood ratio test for the normal population mean vector is proposed. The p-value for the test is obtained by using randomization method, which does not rely on assumptions about the structure of the covariance matrix. An interpretation of the new statistic is given, which does not rely on the normality assumption. Hence the proposed test is also available for non-normal multivariate population. Simulation studies show that the new test offers higher power than other two competing tests when the variables are dependent and performs particularly well for non-normal multivariate population.
Related Topics
Physical Sciences and Engineering Computer Science Computational Theory and Mathematics
Authors
, ,