Abstract:We are interested in testing general linear hypotheses in a high-dimensional multivariate linear regression model. The framework includes many well-studied problems such as two-sample tests for equality of population means, MANOVA and others as special cases. A family of rotationinvariant tests is proposed that involves a flexible spectral shrinkage scheme applied to the sample error covariance matrix. The asymptotic normality of the test statistic under the null hypothesis is derived in the setting where dime… Show more
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