This article is concerned with the high-dimensional location testing problem.For highdimensional settings,traditional multivariate-sign-based tests perform poorly or become infeasible since their Type I error rates ar...This article is concerned with the high-dimensional location testing problem.For highdimensional settings,traditional multivariate-sign-based tests perform poorly or become infeasible since their Type I error rates are far away from nominal levels.Several modifications have been proposed to address this challenging issue and shown to perform well.However,most of modified sign-based tests abandon all the correlation information,and this results in power loss in certain cases.We propose a projection weighted sign test to utilize the correlation information.Under mild conditions,we derive the optimal direction and weights with which the proposed projection test possesses asymptotically and locally best power under alternatives.Benefiting from using the sample-splitting idea for estimating the optimal direction,the proposed test is able to retain type-I error rates pretty well with asymptotic distributions,while it can be also highly competitive in terms of robustness.Its advantage relative to existing methods is demonstrated in numerical simulations and a real data example.展开更多
基金NNSF of China Grants(Grant Nos.11925106,11690015,11931001 and 11971247)NSF of Tianjin Grant(Grant Nos.18JCJQJC46000 and 18ZXZNGX00140)+1 种基金111 Project B20016National Science Foundation(Grant Nos.DMS 1820702,DMS 1953196 and DMS 2015539)。
文摘This article is concerned with the high-dimensional location testing problem.For highdimensional settings,traditional multivariate-sign-based tests perform poorly or become infeasible since their Type I error rates are far away from nominal levels.Several modifications have been proposed to address this challenging issue and shown to perform well.However,most of modified sign-based tests abandon all the correlation information,and this results in power loss in certain cases.We propose a projection weighted sign test to utilize the correlation information.Under mild conditions,we derive the optimal direction and weights with which the proposed projection test possesses asymptotically and locally best power under alternatives.Benefiting from using the sample-splitting idea for estimating the optimal direction,the proposed test is able to retain type-I error rates pretty well with asymptotic distributions,while it can be also highly competitive in terms of robustness.Its advantage relative to existing methods is demonstrated in numerical simulations and a real data example.
