On the test of covariance between two high-dimensional random vectors

Yongshuai Chen (), Wenwen Guo () and Hengjian Cui ()
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Yongshuai Chen: Capital University of Economics and Business
Wenwen Guo: Capital Normal University
Hengjian Cui: Capital Normal University

Statistical Papers, 2024, vol. 65, issue 5, No 3, 2687-2717

Abstract: Abstract We consider a problem of association test in high dimension. A new test statistic is proposed based on the covariance of random vectors and its asymptotic properties are derived under both the null hypothesis and the local alternatives. Furthermore power enhancement technique is utilized to boost the empirical power especially under sparse alternatives. We examine the finite-sample performances of the proposed test via Monte Carlo simulations, which show that the proposed test outperforms some existing procedures. An empirical analysis of a microarray data is demonstrated to detect the relationship between the genes.

Keywords: Association test; High dimension; Covariance of random vectors; Power enhancement technique (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s00362-023-01500-6

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