Hotelling’s T2 in separable Hilbert spaces
Aymeric Stamm and
Journal of Multivariate Analysis, 2018, vol. 167, issue C, 284-305
We address the problem of finite-sample null hypothesis significance testing on the mean element of a random variable that takes value in a generic separable Hilbert space. For this purpose, we propose a (re)definition of Hotelling’s T2 that naturally expands to any separable Hilbert space that we further embed within a permutation inferential approach. In detail, we present a unified framework for making inference on the mean element of Hilbert populations based on Hotelling’s T2 statistic, using a permutation-based testing procedure of which we prove finite-sample exactness and consistency; we showcase the explicit form of Hotelling’s T2 statistic in the case of some famous spaces used in functional data analysis (i.e., Sobolev and Bayes spaces); we demonstrate, by means of simulations, that Hotelling’s T2 exhibits the best performances in terms of statistical power for detecting mean differences between Gaussian populations, compared to other state-of-the-art statistics, in most simulated scenarios; we propose a case study that demonstrate the importance of the space into which one decides to embed the data; we provide an implementation of the proposed tools in the R package fdahotelling available at https://github.com/astamm/fdahotelling.
Keywords: Hilbert space; Functional data; High-dimensional data Hotelling’s T2; Nonparametric inference; Permutation test (search for similar items in EconPapers)
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