A new test for the mean vector in large dimension and small samples

作者：Zhao, Junguang^*

来源：Communications in Statistics - Simulation and Computation, 2017, 46(8): 6115-6128.

DOI：10.1080/03610918.2016.1197244

• High dimension
• Hotelling T-2 test
• Testing mean vector

In this article, we consider the problem of testing the mean vector in the multivariate normal distribution, where the dimension p is greater than the sample size N. We propose a new test T-Block and obtain its asymptotic distribution. We also compare the proposed test with other two tests. The simulation results suggest that the performance of the new test is comparable to the existing two tests, and under some circumstances it may have higher power. Therefore, the new statistic can be employed in practice as an alternative choice.

• 出版日期2017
• 单位北京林业大学