Spatial-Sign based Maxsum Test for High Dimensional Location Parameters
Methodology
2024-12-05 v2
Abstract
In this study, we explore a robust testing procedure for the high-dimensional location parameters testing problem. Initially, we introduce a spatial-sign based max-type test statistic, which exhibits excellent performance for sparse alternatives. Subsequently, we demonstrate the asymptotic independence between this max-type test statistic and the spatial-sign based sum-type test statistic (Feng and Sun, 2016). Building on this, we propose a spatial-sign based max-sum type testing procedure, which shows remarkable performance under varying signal sparsity. Our simulation studies underscore the superior performance of the procedures we propose.
Keywords
Cite
@article{arxiv.2402.01381,
title = {Spatial-Sign based Maxsum Test for High Dimensional Location Parameters},
author = {Jixuan Liu and Long Feng and Ping Zhao and Zhaojun Wang},
journal= {arXiv preprint arXiv:2402.01381},
year = {2024}
}