Optimal Sign Test for High Dimensional Location Parameters

Abstract: This article concerns tests for location parameters in cases where the data dimension is larger than the sample size. We propose a family of tests based on the optimality arguments in Le Cam (1986) under elliptical symmetric. The asymptotic normality of these tests are established. By maximizing the asymptotic power function, we propose an uniformly optimal test for all elliptical symmetric distributions. The optimality is also confirmed by a Monte Carlo investigation.