Multivariate Kruskal_Wallis tests based on principal component score and latent source of independent component analysis

Abstract

Summary Analysing multivariate and high_dimensional multi_sample data is essential in many scientific fields. One of the most crucial and popular topics in modern nonparametric statistics is multi_sample comparison problems for such multivariate and high_dimensional data. The Kruskal_Wallis test is widely used in the multi_sample problem. For multivariate or high_dimensional data, it is imperative to specify how to determine the ranks of individual vector_valued observations in terms of various distance metrics. Alternatively, one can combine the concept of principal component scores or independent component scores with the Kruskal_Wallis test. A simple but powerful Kruskal_Wallis test based on the principal component scores is discussed in this paper for the multivariate and high_dimensional data. Another type of Kruskal_Wallis test based on latent sources of independent component analysis is constructed as a competitor. These tests are suitable for testing the difference in the location vector, scale matrix or both and can be used with equal and unequal sample sizes. These tests_ power performances are thoroughly compared with traditional distance_based Kruskal_Wallis tests for multivariate data using simulation based on Monte Carlo for various population distributions. We include an illustration of the proposed tests using real data. The paper concludes with some remarks and directions for future research.