Exponential bounds for regularized Hotelling’s T2 statistic in high dimension - Centre de Recherche Interdisciplinaire Economie Gestion
Article Dans Une Revue Journal of Multivariate Analysis Année : 2024

Exponential bounds for regularized Hotelling’s T2 statistic in high dimension

Résumé

We obtain exponential inequalities for regularized Hotelling’s statistics, that take into account the potential high dimensional aspects of the problem. We explore the finite sample properties of the tail of these statistics by deriving exponential bounds for symmetric distributions and also for general distributions under weak moment assumptions (we never assume exponential moments). For this, we use a penalized estimator of the covariance matrix and propose an optimal choice for the penalty coefficient.
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hal-04696035 , version 1 (12-09-2024)

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El Mehdi Issouani, Patrice Bertail, Emmanuelle Gautherat. Exponential bounds for regularized Hotelling’s T2 statistic in high dimension. Journal of Multivariate Analysis, 2024, 203, pp.105342. ⟨10.1016/j.jmva.2024.105342⟩. ⟨hal-04696035⟩
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