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An adaptive test for the mean vector in large-p-small-n problems

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  • Shen, Yanfeng
  • Lin, Zhengyan

Abstract

The problem of testing the mean vector in a high-dimensional setting is considered. Up to date, most high-dimensional tests for the mean vector only make use of the marginal information from the variables, and do not incorporate the correlation information into the test statistics. A new testing procedure is proposed, which makes use of the covariance information between the variables. The new approach is novel in that it can select important variables that contain evidence against the null hypothesis and reduce the impact of noise accumulation. Simulations and real data analysis demonstrate that the new test has higher power than some competing methods proposed in the literature.

Suggested Citation

  • Shen, Yanfeng & Lin, Zhengyan, 2015. "An adaptive test for the mean vector in large-p-small-n problems," Computational Statistics & Data Analysis, Elsevier, vol. 89(C), pages 25-38.
    • Handle: RePEc:eee:csdana:v:89:y:2015:i:c:p:25-38
    DOI: 10.1016/j.csda.2015.03.004
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    References listed on IDEAS

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    Cited by:

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    4. Zhang, Qiuyan & Wang, Chen & Zhang, Baoxue & Yang, Hu, 2024. "An RIHT statistic for testing the equality of several high-dimensional mean vectors under homoskedasticity," Computational Statistics & Data Analysis, Elsevier, vol. 190(C).

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