A robust Hotelling test statistic for one sample case in high dimensional data

Hasan Bulut

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 13, 4590-4604

Abstract: The Hotelling T2 statistic is used to test the hypothesis about the location parameter of multivariate Gaussian distribution, and it is significantly sensitive to outliers. Also, we cannot calculate it when the sample size is less than the number of variables because this statistic needs the inverse of the covariance matrix, and the sample covariance matrix is singular in high dimensional data. Although a new approach, based on shrinkage estimation, was proposed to solve this singularity problem, this estimator is still sensitive to outliers. On the other hand, a robust one sample Hotelling T2 statistic was proposed by using the minimum covariance determinant (MCD) estimates instead of classical ones. Since the MCD estimates cannot be calculated when n

Date: 2023
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DOI: 10.1080/03610926.2021.1996606

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