Testing the equality of multivariate means when $p>n$ by combining the Hoteling and Simes tests.
Abstract
We propose a method of testing the shift between mean vectors of two multivariate Gaussian random variables in a high-dimensional setting incorporating the possible dependency and allowing p > n This method is a combination of two well-known tests: the Hotelling test and the Simes test. The tests are integrated by sampling several dimensions at each iteration, testing each using the Hotelling test, and combining their results using the Simes...
Paper Details
Title
Testing the equality of multivariate means when $p>n$ by combining the Hoteling and Simes tests.
Published Date
Dec 22, 2019
Journal
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