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Spatial-Sign based High-Dimensional Location Test
Published 27 Jun 2015 in stat.ME | (1506.08312v1)
Abstract: In this paper, we consider the problem of testing the mean vector in the high dimensional settings. We proposed a new robust scalar transform invariant test based on spatial sign. The proposed test statistic is asymptotically normal under elliptical distributions. Simulation studies show that our test is very robust and efficient in a wide range of distributions.
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