Hypothesis Testing for High-Dimensional Data

  • Wei Biao Wu
  • Zhipeng Lou
  • Yuefeng Han
Part of the Springer Handbooks of Computational Statistics book series (SHCS)


We present a systematic theory for tests for means of high-dimensional data. Our testing procedure is based on an invariance principle which provides distributional approximations of functionals of non-Gaussian vectors by those of Gaussian ones. Differently from the widely used Bonferroni approach, our procedure is dependence-adjusted and has an asymptotically correct size and power. To obtain cutoff values of our test, we propose a half-sampling method which avoids estimating the underlying covariance matrix of the random vectors. The latter method is shown via extensive simulations to have an excellent performance.


Gaussian approximation Goodness-of-Fit Test Half-sampling High-dimensional data Hypothesis testing Large p small n Rademacher weighted differencing 


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Copyright information

© Springer International Publishing AG, part of Springer Nature 2018

Authors and Affiliations

  1. 1.Department of StatisticsUniversity of ChicagoChicagoUSA

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