A simultaneous testing of the mean vector and the covariance matrix among two populations for high-dimensional data

• Masashi Hyodo ^[2] ; Takahiro Nishiyama ^[1]
  1. [1] Senshu University

     Senshu University

     Japón

     
  2. [2] Graduate School of Engineering
• Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 27, Nº. 3, 2018, págs. 680-699
• Idioma: inglés
• DOI: 10.1007/s11749-017-0567-x
• Texto completo no disponible (Saber más ...)
• Resumen

  • In this article, we propose an L2 -norm-based test for simultaneous testing of the mean vector and the covariance matrix under high-dimensional non-normal populations. To construct this, we derive an asymptotic distribution of a test statistic based on both differences mean vectors and covariance matrices. We also investigate the asymptotic sizes and powers of the proposed test using this result. Finally, we study the finite sample and dimension performance of this test via Monte Carlo simulations.