High Dimensional Analysis of Variance in Multivariate Linear Regression
Abstract
In this paper, we develop a systematic theory for high dimensional analysis of variance in multivariate linear regression, where the dimension and the number of coefficients can both grow with the sample size. We propose a new \emph{U}~type test statistic to test linear hypotheses and establish a high dimensional Gaussian approximation result under fairly mild moment assumptions. Our general framework and theory can be applied to deal with the classical one-way multivariate ANOVA and the nonparametric one-way MANOVA in high dimensions. To implement the test procedure in practice, we introduce a sample-splitting based estimator of the second moment of the error covariance and discuss its properties. A simulation study shows that our proposed test outperforms some existing tests in various settings.
Cite
@article{arxiv.2301.04209,
title = {High Dimensional Analysis of Variance in Multivariate Linear Regression},
author = {Zhipeng Lou and Xianyang Zhang and Wei Biao Wu},
journal= {arXiv preprint arXiv:2301.04209},
year = {2023}
}