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Multivariate-Sign-Based High-Dimensional Tests for the Two-Sample Location Problem

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journal contribution
posted on 21.09.2016, 13:58 by Long Feng, Changliang Zou, Zhaojun Wang

This article concerns tests for the two-sample location problem when data dimension is larger than the sample size. Existing multivariate-sign-based procedures are not robust against high dimensionality, producing tests with Type I error rates far away from nominal levels. This is mainly due to the biases from estimating location parameters. We propose a novel test to overcome this issue by using the “leave-one-out” idea. The proposed test statistic is scalar-invariant and thus is particularly useful when different components have different scales in high-dimensional data. Asymptotic properties of the test statistic are studied. Compared with other existing approaches, simulation studies show that the proposed method behaves well in terms of sizes and power. Supplementary materials for this article are available online.