Two-sample Testing in High Dimensions
高维两样本检验
Summary We propose new methodology for two-sample testing in high dimensional models. The methodology provides a high dimensional analogue to the classical likelihood ratio test and is applicable to essentially any model class where sparse estimation is feasible. Sparse structure is used in the construction of the test statistic. In the general case, testing then involves non-nested model comparison, and we provide asymptotic results for the high dimensional setting. We put…