Research Article Open Access

A Test on the Multivariate Behrens–Fisher Problem in High–Dimensional Data by Block Covariance Estimation

Paranut Sukcharoen1 and Samruam Chongcharoen1
  • 1 National Institute of Development Administration, Thailand

Abstract

In this paper, we proposed a new testing statistic for testing the equality of mean vectors from two multivariate normal populations when the covariance matrices are unknown and unequal in high–dimensional data. A new test is proposed based on the idea of keeping more information from the sample covariance matrices as much as possible. A proposed test is invariant under scalar transformations and location shifts. We showed that the asymptotic distribution of proposed statistic is standard normal distribution when number of random variables approach infinity. We also compared the performance of the proposed test with other three existing tests by the simulation study. The simulation results showed that the attained significance level of proposed test close to setting nominal significance level satisfactorily. The attained power of proposed test outperforms as the other comparative tests under form of covariance matrices considered which can be arranged to block diagonal matrix structure. The attained power becomes more powerful when the dimension increases for a given sample size or vice versa, or relationship level between random variables in each sample increases. Finally, the proposed test is also illustrated with an analysis of DNA microarray data.

Journal of Mathematics and Statistics
Volume 15 No. 1, 2019, 44-54

DOI: https://doi.org/10.3844/jmssp.2019.44.54

Submitted On: 22 November 2018 Published On: 2 April 2019

How to Cite: Sukcharoen, P. & Chongcharoen, S. (2019). A Test on the Multivariate Behrens–Fisher Problem in High–Dimensional Data by Block Covariance Estimation. Journal of Mathematics and Statistics, 15(1), 44-54. https://doi.org/10.3844/jmssp.2019.44.54

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Keywords

  • Hypothesis Testing
  • Two–Sample Mean Vectors
  • Multivariate Behrens–Fisher Problem
  • High–Dimensional Data
  • Block Diagonal Matrix Structure