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Robust tests of the equality of two high-dimensional covariance matrices
Communications in Statistics - Theory and Methods ( IF 0.8 ) Pub Date : 2020-07-07 , DOI: 10.1080/03610926.2020.1788085
Xuemin Zi 1 , Hui Chen 2
Affiliation  

Abstract

It is of great importance in both theory and application to test the equality of two covariance matrices Σ1 and Σ2. This article proposes a new robust test based on spatial sign statistic regarding H0:Σ1=Σ2 in high-dimensional setting, and shows that the test statistic is asymptotically normal under elliptical distribution. Besides theoretical properties, simulation results also show that the new test significantly outperforms existing methods in terms of size and power for non normal and high-dimensional data. Analysis of colon cancer data set is carried out to demonstrate the application of the testing procedure.



中文翻译:

两个高维协方差矩阵相等性的稳健检验

摘要

检验两个协方差矩阵的相等性在理论和应用上都具有重要意义Σ1Σ2. 本文提出了一种新的基于空间符号统计的稳健性检验H0Σ1=Σ2在高维设置中,表明检验统计量在椭圆分布下是渐近正态的。除了理论特性外,模拟结果还表明,对于非正态和高维数据,新测试在大小和功效方面明显优于现有方法。进行结肠癌数据集的分析以证明测试程序的应用。

更新日期:2020-07-07
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