Evidence
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to the broader statistical literature on linear regression and hypothesis testing.
Passages supplied to the Evidence version
Card 1 · Violation of the Sphericity Assumption and Its Effect on Type-I Error Rates in Repeated Measures ANOVA and Multi-Level Linear Models (MLM)
We investigated the effects of violations of the sphericity assumption on Type I error rates for different methodical approaches of repeated measures analysis using a simulation approach. In contrast to previous simulation studies on this topic, up to nine measurement occasions were considered. Effe…
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We investigated the effects of violations of the sphericity assumption on Type I error rates for different methodical approaches of repeated measures analysis using a simulation approach. In contrast to previous simulation studies on this topic, up to nine measurement occasions were considered. Effects of the level of inter-correlations between measurement occasions on Type I error rates were considered for the first time. Two populations with non-violation of the sphericity assumption, one with uncorrelated measurement occasions and one with moderately correlated measurement occasions, were generated. One population with violation of the sphericity assumption combines uncorrelated with highly correlated measurement occasions. A second population with violation of the sphericity assumption combines moderately correlated and highly correlated measurement occasions. From these four populations without any between-group effect or within-subject effect 5,000 random samples were drawn. Fina …
Card 2 · Sharp minimax tests for large covariance matrices and adaptation
We consider the detection problem of correlations in a $p$-dimensional Gaussian vector, when we observe $n$ independent, identically distributed random vectors, for $n$ and $p$ large. We assume that the covariance matrix varies in some ellipsoid with parameter $\alpha >1/2$ and total energy bounded…
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We consider the detection problem of correlations in a $p$-dimensional Gaussian vector, when we observe $n$ independent, identically distributed random vectors, for $n$ and $p$ large. We assume that the covariance matrix varies in some ellipsoid with parameter $\alpha >1/2$ and total energy bounded by $L>0$. We propose a test procedure based on a U-statistic of order 2 which is weighted in an optimal way. The weights are the solution of an optimization problem, they are constant on each diagonal and non-null only for the $T$ first diagonals, where $T=o(p)$. We show that this test statistic is asymptotically Gaussian distributed under the null hypothesis and also under the alternative hypothesis for matrices close to the detection boundary. We prove upper bounds for the total error probability of our test procedure, for $\alpha>1/2$ and under the assumption $T=o(p)$ which implies that $n=o(p^{2\alpha})$. We illustrate via a numerical study the behavior of our test procedure. Moreover, w …
Card 3 · Sharp minimax tests for large Toeplitz covariance matrices with repeated observations
Note that, most of the literature on testing the null hypothesis ( 1 ), either focus on finding the asymptotic behavior of the test statistic under the null hypothesis, or control in addition the type II error probability for one fixed unknown matrix under the alternative, whereas our main interest…
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Note that, most of the literature on testing the null hypothesis ( 1 ), either focus on finding the asymptotic behavior of the test statistic under the null hypothesis, or control in addition the type II error probability for one fixed unknown matrix under the alternative, whereas our main interest is to quantify the worst type II error probabilities, i.e. uniformly over a large set of possible covariance matrices.
Card 4 · Performance of Statistical Tests for Single-Source Detection Using Random Matrix Theory
This paper introduces a unified framework for the detection of a single source with a sensor array in the context where the noise variance and the channel between the source and the sensors are unknown at the receiver. The Generalized Maximum Likelihood Test is studied and yields the analysis of the…
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This paper introduces a unified framework for the detection of a single source with a sensor array in the context where the noise variance and the channel between the source and the sensors are unknown at the receiver. The Generalized Maximum Likelihood Test is studied and yields the analysis of the ratio between the maximum eigenvalue of the sampled covariance matrix and its normalized trace. Using recent results from random matrix theory, a practical way to evaluate the threshold and thep-value of the test is provided in the asymptotic regime where the numberKof sensors and the numberNof observations per sensor are large but have the same order of magnitude. The theoretical performance of the test is then analyzed in terms of Receiver Operating Characteristic (ROC) curve. It is, in particular, proved that both Type I and Type II error probabilities converge to zero exponentially as the dimensions increase at the same rate, and closed-form expressions are provided for the error expone …
Card 5 · Sharp minimax tests for large Toeplitz covariance matrices with repeated observations
Note that, most of the literature on testing the null hypothesis ( 1 ), either focus on finding the asymptotic behavior of the test statistic under the null hypothesis, or control in addition the type II error probability for one fixed unknown matrix under the alternative, whereas our main interest…
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Note that, most of the literature on testing the null hypothesis ( 1 ), either focus on finding the asymptotic behavior of the test statistic under the null hypothesis, or control in addition the type II error probability for one fixed unknown matrix under the alternative, whereas our main interest is to quantify the worst type II error probabilities, i.e. uniformly over a large set of possible covariance matrices.
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