meantest.clx {PEtests} | R Documentation |
Two-sample high-dimensional mean test (Cai, Liu and Xia, 2014)
Description
This function implements the two-sample -norm-based
high-dimensional mean test proposed in Cai, Liu and Xia (2014).
Suppose
are i.i.d.
copies of
, and
are i.i.d. copies of
.
The test statistic is defined as
With some regularity conditions, under the null hypothesis ,
the test statistic
converges in distribution to
a Gumbel distribution
as
.
The asymptotic
-value is obtained by
Usage
meantest.clx(dataX,dataY)
Arguments
dataX |
an |
dataY |
an |
Value
stat
the value of test statistic
pval
the p-value for the test.
References
Cai, T. T., Liu, W., and Xia, Y. (2014). Two-sample test of high dimensional means under dependence. Journal of the Royal Statistical Society: Series B: Statistical Methodology, 76(2):349–372.
Examples
n1 = 100; n2 = 100; pp = 500
set.seed(1)
X = matrix(rnorm(n1*pp), nrow=n1, ncol=pp)
Y = matrix(rnorm(n2*pp), nrow=n2, ncol=pp)
meantest.clx(X,Y)
[Package PEtests version 0.1.0 Index]