Mean test for high-dimensional data based on covariance matrix with linear structures

Abstract

In this work, the mean test is considered under the condition that the number of dimensions p is much larger than the sample size n when the covariance matrix is represented as a linear structure as possible. At first, the estimator of coefficients in the linear structures of the covariance matrix is constructed, and then an efficient covariance matrix estimator is naturally given. Next, a new test statistic similar to the classical Hotelling’s \(T^2\) test is proposed by replacing the sample covariance matrix with the given estimator of covariance matrix. Then the asymptotic normality of the estimator of coefficients and that of a new statistic for the mean test are separately obtained under some mild conditions. Simulation results show that the performance of the proposed test statistic is almost the same as the Hotelling’s \(T^2\) test statistic for which the covariance matrix is known. Our new test statistic can not only control reasonably the nominal level; it also gains greater empirical powers than competing tests. It is found that the power of mean test has great improvement when considering the structure information of the covariance matrix, especially for high-dimensional cases. Moreover, an example with real data is provided to show the application of our approach.