A generalized likelihood ratio test for normal mean when p is greater than n

Junguang Zhao and Xingzhong Xu

Computational Statistics & Data Analysis, 2016, vol. 99, issue C, 91-104

Abstract: The problem of testing the population mean vector of high-dimensional multivariate data is considered. Inspired by Roy’s union–intersection test, a generalized high-dimensional likelihood ratio test for the normal population mean vector is proposed. The p-value for the test is obtained by using randomization method, which does not rely on assumptions about the structure of the covariance matrix. An interpretation of the new statistic is given, which does not rely on the normality assumption. Hence the proposed test is also available for non-normal multivariate population. Simulation studies show that the new test offers higher power than other two competing tests when the variables are dependent and performs particularly well for non-normal multivariate population.

Keywords: High dimensionality; Hypothesis test; Likelihood ratio; Normal mean; Union–intersection test (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167947316000153
Full text for ScienceDirect subscribers only.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:99:y:2016:i:c:p:91-104

DOI: 10.1016/j.csda.2016.01.006

Access Statistics for this article

Computational Statistics & Data Analysis is currently edited by S.P. Azen

More articles in Computational Statistics & Data Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().