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A Permutation Test for Multiple Correlation Coefficient in High Dimensional Normal Data

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Abstract

IntroutionThe population multiple correlation coefficient (PMCC) measures the correlation between a given one-dimensional random variable X and multidimensional random vector X .This measure is the maximum correlation between X and any linear combination of components X .Testing the null hypothesis of zero PMCC is the most favourable approach to investigate the existence or non-existence of PMCC between X and X .The classical procedures for testing this hypothesis in high-dimensional data settings are invalid since the sample covariance matrix inverse or sample precision matrix is undefined.To cope with this problem, a simple test is constructed for testing zero PMCC in high-dimensional normal data.A small simulation study was carried out to evaluate the performance of the proposed test in both high-dimensional and low-dimensional normal data sets.Finally, the proposed test is applied to mice tumour volumes data. ateria an ethosThe proposed test includes the following two steps: In the first step, using a plug-in estimator of the sample precision matrix, a simple test statistic, called plug-in test statistic, was derived which uses the EQUALs method (Wang and Jiang, ) to estimate the precision matrix.In the second step, a permutation test is constructed using the proposed plug-in statistic to test the null hypothesis of zero PMCC.Theoretical investigations demonstrate that the proposed testing procedure is a level test. . . . . .

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