EconPapers    
Economics at your fingertips  
 

Testing and support recovery of multiple high-dimensional covariance matrices with false discovery rate control

Yin Xia ()
Additional contact information
Yin Xia: Fudan University

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2017, vol. 26, issue 4, 782-801

Abstract: Abstract Motivated by applications in genomics, we study in this paper four interrelated high-dimensional hypothesis testing problems on dependence structures among multiple populations. A new test statistic is constructed for testing the global hypothesis that multiple covariance matrices are equal, and its limiting null distribution is established. Correction methods are introduced to improve the accuracy of the test for finite samples. It is shown that the proposed tests are powerful against sparse alternatives and enjoy certain optimality properties. We then propose a multiple testing procedure for simultaneously testing the equality of the entries of the covariance matrices across multiple populations. The proposed method is shown to control the false discovery rate. A simulation study demonstrates that the proposed tests maintain the desired error rates under the null and have good power under the alternative. The methods are also applied to a Novartis multi-tissue analysis. In addition, testing and support recovery of submatrices of multiple covariance matrices are studied.

Keywords: Correction; Extreme value distribution; High-dimensional test; Limiting null distribution; Multiple testing; Sparsity; 62H15 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://link.springer.com/10.1007/s11749-017-0533-7 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:spr:testjl:v:26:y:2017:i:4:d:10.1007_s11749-017-0533-7

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/11749/PS2

Access Statistics for this article

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research is currently edited by Alfonso Gordaliza and Ana F. Militino

More articles in TEST: An Official Journal of the Spanish Society of Statistics and Operations Research from Springer, Sociedad de Estadística e Investigación Operativa
Bibliographic data for series maintained by Sonal Shukla ().

 
Page updated 2019-05-21
Handle: RePEc:spr:testjl:v:26:y:2017:i:4:d:10.1007_s11749-017-0533-7