A Two Sample Test for Mean Vectors with Unequal Covariance Matrices in High–Dimensional Data
สถิติทดสอบความเท่ากันของเวกเตอร์ค่าเฉลี่ยระหว่าง 2 ประชากร เมื่อเมทริกซ์ความแปรปรวนร่วมระหว่าง 2 ประชากรไม่เท่ากัน สำหรับข้อมูลมิติสูง
by Paranut Sukcharoen
Title: | A Two Sample Test for Mean Vectors with Unequal Covariance Matrices in High–Dimensional Data สถิติทดสอบความเท่ากันของเวกเตอร์ค่าเฉลี่ยระหว่าง 2 ประชากร เมื่อเมทริกซ์ความแปรปรวนร่วมระหว่าง 2 ประชากรไม่เท่ากัน สำหรับข้อมูลมิติสูง |
Author(s): | Paranut Sukcharoen |
Contributor(s): | NIDA. School of Applied Statistics |
Advisor: | Samruam Chongcharoen |
Degree name: | Master of Science (Applied Statistics) |
Degree level: | Thesis |
Degree discipline: | M.S.Program in Applied Statistics |
Degree grantor: | National Institute of Development Administration |
Issued date: | 4/4/19 |
Publisher: | NIDA |
Abstract: |
In this paper, we proposed a new testing statistic for testing the equality of mean vectors from two multivariate normal populations when the covariance matrices are unknown and unequal in high–dimensional data. A new test is proposed based on the idea of keeping more information from the sample covariance matrices as much as possible. A proposed test is invariant under scalar transformations. We showed that the asymptotic distribution of proposed statistic is standard normal distribution when number of random variables approach infinity. We also compared the performance of the proposed test with other three existing tests by the simulation study. The simulation results showed that the attained significance level of proposed test close to setting nominal significance level satisfactorily. The attained power of proposed test outperforms as the other comparative tests under form of covariance matrices considered which can be arranged to block diagonal matrix structure. The attained power becomes more powerful when the dimension increases for a given sample size or vice versa, or relationship level between random variables in each sample increases. Finally, the proposed test is also illustrated with an analysis of DNA microarray data. |
Description: |
NIDA, 2018 |
Subject(s): | Mathematics |
Keyword(s): | การทดสอบสมมุติฐาน การทดสอบเวกเตอร์ค่าเฉลี่ย ปัญหาเบห์เรนส์–ฟิชเชอร์ ข้อมูลมิติสูง |
Type: | Thesis |
Language: | th |
Rights holder(s): | NIDA |
URI: | https://repository.nida.ac.th/handle/662723737/5027 |
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