Correlation tests for high-dimensional data under the strongly spiked eigenvalue model

Abstract Correlation tests are very important tools for the pathway analysis or graphical modeling of high-dimensional data. In this study, we consider a correlation test under the strongly spiked eigenvalue (SSE) model in high-dimension, low-sample-size scenarios, where the sample size is much smaller than the dimension. High-dimensional data often fit the SSE model. Previously, a high-dimensional test for a correlation matrix under the non-SSE model was constructed using the extended cross-data-matrix (ECDM) methodology. Here, we show that an asymptotic distribution of the test statistic using ECDM methodology under the SSE model can be written using the distribution of the sum of some weighted chi-squared variables when both dimension and sample size reach infinity. We propose a new test procedure using the asymptotic distribution. We also show that the proposed test procedure has preferable properties for power and size. We discuss the performance of the test procedure through simulations and present a demonstration with actual data analyses using a microarray data set.

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Publication Details

Journal
Japanese Journal of Statistics and Data Science
Published
2026-01-27
DOI
https://doi.org/10.1007/s42081-025-00323-z
Primary Topic
Random Matrices and Applications
Type
article
Field-Weighted Citation Impact
0.00

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article

Correlation tests for high-dimensional data under the strongly spiked eigenvalue model

Aki Ishii, Makoto Aoshima, Yumu Iwana, Kazuyoshi Yata
Japanese Journal of Statistics and Data Science
Random Matrices and Applications
article

Correlation tests for high-dimensional data under the strongly spiked eigenvalue model

Aki Ishii, Makoto Aoshima, Yumu Iwana, Kazuyoshi Yata
article en

Abstract

Abstract Correlation tests are very important tools for the pathway analysis or graphical modeling of high-dimensional data. In this study, we consider a correlation test under the strongly spiked eigenvalue (SSE) model in high-dimension, low-sample-size scenarios, where the sample size is much smaller than the dimension. High-dimensional data often fit the SSE model. Previously, a high-dimensional test for a correlation matrix under the non-SSE model was constructed using the extended cross-data-matrix (ECDM) methodology. Here, we show that an asymptotic distribution of the test statistic using ECDM methodology under the SSE model can be written using the distribution of the sum of some weighted chi-squared variables when both dimension and sample size reach infinity. We propose a new test procedure using the asymptotic distribution. We also show that the proposed test procedure has preferable properties for power and size. We discuss the performance of the test procedure through simulations and present a demonstration with actual data analyses using a microarray data set.

Japanese Journal of Statistics and Data Science
Tokyo University of Information Sciences (JP), University of Tsukuba (JP), Tokyo University of Science (JP), Tsukuba University of Technology (JP)
Japan Society for the Promotion of Science
Openalex Percentile: Top 79%
Random Matrices and Applications
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