Generalized F-tests for the multivariate normal mean

Jiajuan Liang*, Man Lai TANG

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

7 Citations (Scopus)

Abstract

Based on Läuter's [Läuter, J., 1996. Exact t and F tests for analyzing studies with multiple endpoints. Biometrics 52, 964-970] exact t test for biometrical studies related to the multivariate normal mean, we develop a generalized F-test for the multivariate normal mean and extend it to multiple comparison. The proposed generalized F-tests have simple approximate null distributions. A Monte Carlo study and two real examples show that the generalized F-test is at least as good as the optional individual Läuter's test and can improve its performance in some situations where the projection directions for the Läuter's test may not be suitably chosen. The generalized F-test could be superior to individual Läuter's tests and the classical Hotelling T2-test for the general purpose of testing the multivariate normal mean. It is shown by Monte Carlo studies that the extended generalized F-test outperforms the commonly-used classical test for multiple comparison of normal means in the case of high dimension with small sample sizes.

Original languageEnglish
Pages (from-to)1177-1190
Number of pages14
JournalComputational Statistics and Data Analysis
Volume53
Issue number4
DOIs
Publication statusPublished - 15 Feb 2009

Scopus Subject Areas

  • Statistics and Probability
  • Computational Mathematics
  • Computational Theory and Mathematics
  • Applied Mathematics

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