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Ridgelized Hotelling's T2 test on mean vectors of large dimension
Ha, Gao-Fan Zhang, Qiuyan Bai, Zhidong Wang, You-Gan
Ha, Gao-Fan
Zhang, Qiuyan
Bai, Zhidong
Wang, You-Gan
Abstract
In this paper, a ridgelized Hotelling’s T2 test is developed for a hypothesis on a large-dimensional mean vector under certain moment conditions. It generalizes the main result of Chen et al. [A regularized Hotelling’s t2 test for pathway analysis in proteomic studies, J. Am. Stat. Assoc. 106(496) (2011) 1345–1360.] by relaxing their Gaussian assumption. This is achieved by establishing an exact four-moment theorem that is a simplified version of Tao and Vu’s [Random matrices: universality of local statistics of eigenvalues, Ann. Probab. 40(3) (2012) 1285–1315] work. Simulation results demonstrate the superiority of the proposed test over the traditional Hotelling’s T2 test and its several extensions in high-dimensional situations.
Keywords
random matrices, Hotelling’s T2 test, four moment theorem, central limit theorem
Date
2022
Type
Journal article
Journal
Random Matrices: Theory and Application
Book
Volume
11
Issue
1
Page Range
1-29
Article Number
Article 2250011
ACU Department
Institute for Learning Sciences and Teacher Education (ILSTE)
Faculty of Education and Arts
Faculty of Education and Arts
Relation URI
Source URL
Event URL
Open Access Status
License
All rights reserved
File Access
Controlled