A one-sample location test based on weighted averaging of two test statistics in high-dimensional data

TL;DR

This paper introduces a new high-dimensional one-sample location test that combines Hotelling's and Dempster's tests through weighted averaging, improving stability and power when the optimal test is uncertain.

Contribution

A novel test statistic based on weighted averaging of Hotelling's and Dempster's tests, optimized for situations with asymptotic equivalence, enhancing stability and local power in high-dimensional data.

Findings

The proposed test outperforms individual tests in stability across various settings.

The new method maintains good asymptotic properties regarding local power.

Numerical experiments confirm improved performance over traditional tests.

Abstract

We discuss a one-sample location test that can be used in the case of high-dimensional data. For high-dimensional data, the power of Hotelling's test decrises when the dimension is close to the sample size. To address this loss of power, some non-exact approaches were proposed, e.g., Dempster (1958, 1960), Bai and Saranadasa (1996) and Srivastava and Du (2006). In this paper, we focus on Hotelling's test and Dempster's test. The comparative merits and demerits of these two tests vary according to the local parameters. In particular, we consider the situation where it is difficult to determine which test should be used, that is, where the two tests are asymptotically equivalent in terms of local power. We propose a new statistic based on the weighted averaging of Hotelling's $T^2$ statistic and Dempster's statistic that can be applied in such a situation. Our weight is determined on the basis of the maximum local asymptotic power on a restricted parameter space that induces local asymptotic equivalence between Hotelling's test and Dempster's test. In addition, some good asymptotic properties with respect to the local power are shown. Numerical results show that our test is more stable than Hotelling's $T^2$ statistic and Dempster's statistic in most parameter settings.