The Annals of Statistics
- Ann. Statist.
- Volume 45, Number 2 (2017), 771-799.
Tests for high-dimensional data based on means, spatial signs and spatial ranks
Tests based on mean vectors and spatial signs and ranks for a zero mean in one-sample problems and for the equality of means in two-sample problems have been studied in the recent literature for high-dimensional data with the dimension larger than the sample size. For the above testing problems, we show that under suitable sequences of alternatives, the powers of the mean-based tests and the tests based on spatial signs and ranks tend to be same as the data dimension tends to infinity for any sample size when the coordinate variables satisfy appropriate mixing conditions. Further, their limiting powers do not depend on the heaviness of the tails of the distributions. This is in striking contrast to the asymptotic results obtained in the classical multivariate setting. On the other hand, we show that in the presence of stronger dependence among the coordinate variables, the spatial-sign- and rank-based tests for high-dimensional data can be asymptotically more powerful than the mean-based tests if, in addition to the data dimension, the sample size also tends to infinity. The sizes of some mean-based tests for high-dimensional data studied in the recent literature are observed to be significantly different from their nominal levels. This is due to the inadequacy of the asymptotic approximations used for the distributions of those test statistics. However, our asymptotic approximations for the tests based on spatial signs and ranks are observed to work well when the tests are applied on a variety of simulated and real datasets.
Ann. Statist., Volume 45, Number 2 (2017), 771-799.
Received: May 2015
Revised: March 2016
First available in Project Euclid: 16 May 2017
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Chakraborty, Anirvan; Chaudhuri, Probal. Tests for high-dimensional data based on means, spatial signs and spatial ranks. Ann. Statist. 45 (2017), no. 2, 771--799. doi:10.1214/16-AOS1467. https://projecteuclid.org/euclid.aos/1494921957
- Supplement to “Tests for high-dimensional data based on means, spatial signs and spatial ranks”. This supplemental article contains additional mathematical details related to the proof of part (a) of Theorem 3.3 and the detailed results of the simulation study done in Section 5 of the paper.