南方科技大学知识苑(SUSTech KC): Two-sample tests for high-dimensional covariance matrices using both difference and ratio

题名	Two-sample tests for high-dimensional covariance matrices using both difference and ratio
作者	Zou, Tingting 1; LinT, Ruitao 2; Zheng, Shurong 1,3; Tian, Guo-Liang4
通讯作者	Zheng, Shurong
发表日期	2021
DOI	10.1214/20-EJS1783
发表期刊	Electronic Journal of Statistics 影响因子和分区
ISSN	1935-7524
卷号	15 期号:1
摘要	By borrowing strengths from the difference and ratio between two sample covariance matrices, we propose three tests for testing the equality of two high-dimensional population covariance matrices. One test is shown to be powerful against dense alternatives, and the other two tests are suitable for general cases, including dense and sparse alternatives, or the mixture of the two. Based on random matrix theory, we investigate the asymptotical properties of these three tests under the null hypothesis as the sample size and the dimension tend to infinity proportionally. Limiting behaviors of the new tests are also studied under various local alternatives. Extensive simulation studies demonstrate that the proposed methods outperform or perform equally well compared with the existing tests.
关键词	Asymptotic normality high-dimensional covariance matrices power enhancement random matrix theory
相关链接	[来源记录]
收录类别	SCI
语种	英语
学校署名	其他
资助项目	NIH/NCI[P30 CA 016672] ; National Natural Science Foundation of China[11771199]
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000605985400004
出版者	INST MATHEMATICAL STATISTICS
来源库	Web of Science
引用统计	被引频次[WOS]：4
成果类型	期刊论文
条目标识符	http://sustech.caswiz.com/handle/2SGJ60CL/221294
专题	南方科技大学理学院_统计与数据科学系
作者单位	1.Northeast Normal Univ, Changchun, Peoples R China 2.Univ Texas MD Anderson Canc Ctr, Houston, TX 77030 USA 3.KLAS, Changchun, Peoples R China 4.Southern Univ Sci & Technol, Shenzhen, Peoples R China
推荐引用方式 GB/T 7714	Zou, Tingting,LinT, Ruitao,Zheng, Shurong,et al. Two-sample tests for high-dimensional covariance matrices using both difference and ratio[J]. Electronic Journal of Statistics,2021,15(1).
APA	Zou, Tingting,LinT, Ruitao,Zheng, Shurong,&Tian, Guo-Liang.(2021).Two-sample tests for high-dimensional covariance matrices using both difference and ratio.Electronic Journal of Statistics,15(1).
MLA	Zou, Tingting,et al."Two-sample tests for high-dimensional covariance matrices using both difference and ratio".Electronic Journal of Statistics 15.1(2021).