Adaptable Regularized Hotelling's T^2 Test for High-Dimensional Data
An adaptable generalized Hotelling's test for high dimensional d...
An internal function
An internal function
Consistent estimators of high-order moments of the population spectral...
3-variate positively correlated chi-squared sample generation when deg...
Perform the Adaptable Regularized Hotelling's T^2 test (ARHT) proposed by Li et al., (2016) <arXiv:1609.08725>. Both one-sample and two-sample mean test are available with various probabilistic alternative prior models. It contains a function to consistently estimate higher order moments of the population covariance spectral distribution using the spectral of the sample covariance matrix (Bai et al. (2010) <doi:10.1111/j.1467-842X.2010.00590.x>). In addition, it contains a function to sample from 3-variate chi-squared random vectors approximately with a given correlation matrix when the degrees of freedom are large.