A two sample test in high dimensional data

Muni S. Srivastava, Shota Katayama, Yutaka Kano

研究成果: Article査読

85 被引用数 (Scopus)

抄録

In this paper we propose a test for testing the equality of the mean vectors of two groups with unequal covariance matrices based on N1 and N2 independently distributed p-dimensional observation vectors. It will be assumed that N1 observation vectors from the first group are normally distributed with mean vector μ1 and covariance matrix Σ1. Similarly, the N2 observation vectors from the second group are normally distributed with mean vectorμ2 and covariance matrixΣ2.Wepropose a test for testing the hypothesis that μ1 = μ2. This test is invariant under the group of p×p nonsingular diagonal matrices. The asymptotic distribution is obtained as (N1, N2, p) → ∞and N1/(N1 + N2) → k ∈ (0, 1) but N1/p and N2/p may go to zero or infinity. It is compared with a recently proposed noninvariant test. It is shown that the proposed test performs the best.

本文言語English
ページ(範囲)349-358
ページ数10
ジャーナルJournal of Multivariate Analysis
114
1
DOI
出版ステータスPublished - 2013
外部発表はい

ASJC Scopus subject areas

  • 統計学および確率
  • 数値解析
  • 統計学、確率および不確実性

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