MVTests (version 2.2.2)

TR2: 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)

Value

a list with 2 elements:

TR2

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

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.

Author

Hasan BULUT <[e-mail]>

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.

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 (Unpublished)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)