Some high-dimensional tests for a one-way MANOVA

James R. Schott

Journal of Multivariate Analysis, 2007, vol. 98, issue 9, 1825-1839

Abstract: A statistic is proposed for testing the equality of the mean vectors in a one-way multivariate analysis of variance. The asymptotic null distribution of this statistic, as both the sample size and the number of variables go to infinity, is shown to be normal. Thus, this test can be used when the number of variables is not small relative to the sample size. In particular, it can be used when the number of variables exceeds the degrees of freedom for error, a situation in which standard MANOVA tests are invalid. A related statistic, also having an asymptotic normal distribution, is developed for tests concerning the dimensionality of the hyperplane formed by the population mean vectors. The finite sample size performances of the normal approximations are evaluated in a simulation study.

Keywords: High-dimensional; data; Testing; the; equality; of; mean; vectors; Tests; of; dimensionality (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (27)

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