GCT.sim: Generalized component test simulator

Description

Performs the generalized component test from Gregory et al. (2014) on multiple data sets generated by build2popData.

Usage

GCT.sim(DATA, r, smoother = "parzen", ntoorderminus = 2)

Arguments

DATA

an object returned by build2popData which is a list of S data sets.

the lag window size for variance estimation.

smoother

the lag window used in the variance estimation. Possible values are "parzen" and "trapezoid".

ntoorderminus

a value of 0,1, or 2 such that the centering constant will retain terms of order n^(-ntoorderminus). Enter 0 for the moderate-p GCT, and enter 2 for the large-p GCT. A value of 1 may be entered to retain only terms which are O(1/n), appropriate for a size of p between moderate and large.

Value

TSvalues: the values of the unstudentized test statistic.
pvalues: the p-values.
smoothtype: the choice of the lag window used in variance estimation.
T: the values of the studentized test statistic.
cent: the values of the centering constant.
var: the values of the estimated variance of the test statistic.

References

Gregory, K., Carroll, R. J., Baladandayuthapani, V. and Lahiri, S. (2015). A two-sample test for equality of means in high dimension. Journal of the American Statistician, to appear

Examples

Run this code

	
## Not run: 
# 
# DATA <-build2popData(	
# 	n = 15,
# 	m = 20,
# 	p = 500,
# 	muX = rep(0,500),
# 	muY = rep(0,500),
# 	commoncov = FALSE,
# 	VarScaleY = 1,
# 	dep = "ARMA",
# 	ARMAparms = list(coefs=list(ma=c(.2,.3) , ar=c(.4,-.1))),
# 	LRparm = .75,
# 	S = 25,
# 	innov = function(n,...) rnorm(n,0,1),
# 	heteroscedastic=TRUE,
# 	het.diag = diag(.1 + rexp(500,1/2))
# 	)	
# 	
# GCT.sim(DATA,r=20,smoother="parzen")
# 
# ## End(Not run)