High Dimensional Analysis of Variance in Multivariate Linear Regression

TL;DR

This paper develops a new high-dimensional analysis of variance framework for multivariate linear regression, introducing a U-type test statistic and demonstrating its effectiveness through theoretical results and simulations.

Contribution

It introduces a novel U-type test statistic for high-dimensional ANOVA and provides a comprehensive theoretical framework applicable to classical and nonparametric multivariate ANOVA.

Findings

The proposed test outperforms existing methods in simulations.

The framework applies to both classical and nonparametric high-dimensional ANOVA.

A sample-splitting estimator for error covariance is introduced and analyzed.

Abstract

In this paper, we develop a systematic theory for high dimensional analysis of variance in multivariate linear regression, where the dimension and the number of coefficients can both grow with the sample size. We propose a new \emph{U}~type test statistic to test linear hypotheses and establish a high dimensional Gaussian approximation result under fairly mild moment assumptions. Our general framework and theory can be applied to deal with the classical one-way multivariate ANOVA and the nonparametric one-way MANOVA in high dimensions. To implement the test procedure in practice, we introduce a sample-splitting based estimator of the second moment of the error covariance and discuss its properties. A simulation study shows that our proposed test outperforms some existing tests in various settings.