使用随机集成来测试高维共变矩阵的等式
Yunlu Jiang1, Canhong Wen1, Yukang Jiang1
1Jinan University, University of Science and Technology of China, Sun Yat-Sen University, Yale University.
概括
这项研究引入了一种新的统计测试,用于比较高维共变矩阵,即使数据有限. 新的随机集成方法为这个基本问题提供了一种强大而灵活的方法.
科学领域:
- 统计 统计 统计 统计
- 多变量分析多变量分析
- 高维数据分析 高维数据分析
背景情况:
- 在统计学中,比较协差矩阵至关重要.
- 高维数据给传统方法带来了重大挑战.
- 现有的测试通常需要分布假设或大样本大小.
研究的目的:
- 开发一种新的统计测试,以测试两个协差矩阵的等式.
- 为了应对高维数据所带来的挑战,其中维度超过样本大小.
- 提供一种不假定基础群体的参数分布的方法.
主要方法:
- 使用随机集成的新应用.
- 在一般的多变量模型下开发测试的非对称理论.
- 进行数值研究以评估有限样本的性能.
主要成果:
- 即使尺寸远大于样本大小,建议的测试也有效.
- 对任意维度和样本大小进行严格研究的非对称性属性.
- 数字结果显示,该测试在各种设置中与现有方法具有竞争力.
结论:
- 新的随机集成测试为比较高维共变矩阵提供了强大而灵活的解决方案.
- 该方法是稳固的,不需要分布假设,即使使用有限的数据也表现良好.
- 当协方差矩阵的差异涉及对角干扰时,测试表明了特殊的强度.
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