A high-dimensional test on linear hypothesis of means under a low-dimensional factor model

Mingxiang Cao () and Yuanjing He
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Mingxiang Cao: Anhui Normal University
Yuanjing He: Anhui Technical College of Industry and Economy

Metrika: International Journal for Theoretical and Applied Statistics, 2022, vol. 85, issue 5, No 2, 557-572

Abstract: Abstract In this paper, the problem of testing the hypothesis of linear combination of k-sample means of high-dimensional data is investigated under a low-dimensional factor model. We propose a new test and derive that the asymptotic distribution of the test statistic is a weighted distribution of independent chi-squared distribution of 1 degree of freedom under the null hypothesis and mild conditions. We provide numerical studies on both sizes and powers to illustrate performance of the proposed test.

Keywords: High-dimensional data; Linear hypothesis; Low-dimensional factor model; Chi-squared distribution; 62H15; 62E20 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:metrik:v:85:y:2022:i:5:d:10.1007_s00184-021-00841-2

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DOI: 10.1007/s00184-021-00841-2

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