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    Two-Sample Testing of High-Dimensional Covariance Matrices

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    Sun_temple_0225E_14713.pdf
    Embargo:
    2024-02-02
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    Genre
    Thesis/Dissertation
    Date
    2021
    Author
    Sun, Nan cc
    Advisor
    Tang, Cheng Yong
    Committee member
    Dong, Yuexiao
    Han, Xu
    Gutiérrez, Cristian E., 1950-
    Department
    Statistics
    Subject
    Statistics
    Corrected likelihood ratio test
    Covariance matrix
    Hypothesis testing
    Meta analysis
    Random matrix theory
    Random projections
    Permanent link to this record
    http://hdl.handle.net/20.500.12613/7353
    
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    DOI
    http://dx.doi.org/10.34944/dspace/7332
    Abstract
    Testing the equality between two high-dimensional covariance matrices is challenging. As the most efficient way to measure evidential discrepancies in observed data, the likelihood ratio test is expected to be powerful when the null hypothesis is violated. However, when the data dimensionality becomes large and potentially exceeds the sample size by a substantial margin, likelihood ratio based approaches face practical and theoretical challenges. To solve this problem, this study proposes a method by which we first randomly project the original high-dimensional data into lower-dimensional space, and then apply the corrected likelihood ratio tests developed with random matrix theory. We show that testing with a single random projection is consistent under the null hypothesis. Through evaluating the power function, which is challenging in this context, we provide evidence that the test with a single random projection based on a random projection matrix with reasonable column sizes is more powerful when the two covariance matrices are unequal but component-wise discrepancy could be small -- a weak and dense signal setting. To more efficiently utilize this data information, we propose combined tests from multiple random projections from the class of meta-analyses. We establish the foundation of the combined tests from our theoretical analysis that the p-values from multiple random projections are asymptotically independent in the high-dimensional covariance matrices testing problem. Then, we show that combined tests from multiple random projections are consistent under the null hypothesis. In addition, our theory presents the merit of certain meta-analysis approaches over testing with a single random projection. Numerical evaluation of the power function of the combined tests from multiple random projections is also provided based on numerical evaluation of power function of testing with a single random projection. Extensive simulations and two real genetic data analyses confirm the merits and potential applications of our test.
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