Two-Sample Covariance Matrix Testing and Support Recovery

• Activity Number: 407
• Type: Contributed
• Date/Time: Tuesday, July 31, 2012 : 2:00 PM to 3:50 PM
• Sponsor: IMS
• Author(s): Yin Xia*+ and Tony Cai and Weidong Liu
• Companies: The Wharton School and University of Pennsylvania and Shanghai Jiao Tong University
• Keywords: Covariance matrix ; extreme value type I distribution ; gene selection ; hypothesis testing ; sparsity ; support recovery

Abstract

We propose a new test for testing the equality of two covariance matrices in the high-dimensional setting and investigate its theoretical and numerical properties. The limiting null distribution of the test statistic is derived. The test is shown to enjoy certain optimality and to be especially powerful against sparse alternatives. The simulation results show that the test significantly outperforms the existing methods both in terms of size and power. Analysis of prostate cancer datasets is carried out to demonstrate the application of the testing procedures. When the null hypothesis of equal covariance matrices is rejected, it is often of significant interest to further investigate in which way they differ. Motivated by applications in genomics, we also consider two related problems, recovering the support of the difference of two covariance matrices and testing the equality of the two covariance matrices row by row. New testing procedures are introduced and their properties are studied. Applications to gene selection is also discussed.