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A new test for the mean vector in large dimension and small samples
Authors:Junguang Zhao
Institution:College of Science, Beijing Forestry University, Beijing, China
Abstract:In this article, we consider the problem of testing the mean vector in the multivariate normal distribution, where the dimension p is greater than the sample size N. We propose a new test TBlock and obtain its asymptotic distribution. We also compare the proposed test with other two tests. The simulation results suggest that the performance of the new test is comparable to the existing two tests, and under some circumstances it may have higher power. Therefore, the new statistic can be employed in practice as an alternative choice.
Keywords:High dimension  Hotelling T2 test  Testing mean vector
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