TR2: Robust Hotelling T^2 Test Statistic

In MVTests: Multivariate Hypothesis Tests

Robust Hotelling T^2 Test Statistic

Description

Robust Hotelling T^2 Test Statistic for Two Independent Samples in high Dimensional Data

Usage

TR2(x1, x2, alpha = 0.75)

Arguments

x1	the data matrix for the first group. It must be matrix or data.frame.
x2	the data matrix for the first group. It must be matrix or data.frame.
alpha	numeric parameter controlling the size of the subsets over which the determinant is minimized. Allowed values are between 0.5 and 1 and the default is 0.75.

Details

TR2 function calculates the robust Hotelling T^2 test statistic for two independent samples in high dimensional data based on the minimum regularized covariance determinant estimators.

Value

a list with 2 elements:

TR2	The calculated value of Robust Hotelling T^2 statistic based on MRCD estimations

Author(s)

Hasan BULUT <[e-mail]>

References

Bulut, H (2023). A robust Hotelling test statistic for two samples case in high dimensional data. (Unpublished)

Examples

library(rrcov)
x<-mvtnorm::rmvnorm(n=10,sigma=diag(20),mean=rep(0,20))
y<-mvtnorm::rmvnorm(n=10,sigma=diag(20),mean=rep(1,20))
TR2(x1=x,x2=y)

MVTests documentation built on Nov. 3, 2023, 5:11 p.m.