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arXiv 1210.4584stat.ME
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高维模型中的双样本检验

Two-Sample Testing in High-Dimensional Models

Nicolas Städler, Sach Mukherjee

摘要:

我们提出了一种新的方法来检验两个高维总体之间的模型参数的平等。该技术非常通用,适用于各种模型。该方法是基于样本分裂:数据分为两部分;第一部分,我们减少了模型的维数到一个可管理的大小;第二部分,我们进行显着性检验(p值计算)的基础上限制似然比统计。假设这两个群体来自相同的分布,我们表明,限制似然比统计量是渐近分布的卡方加权和的权重,可以有效地估计从数据。在高维问题中,单个数据分割可能导致“p值彩票”。为了改善这种影响,我们对分裂过程进行了简化,并对产生的p值进行了聚合。这种多重分割方法提供了改进的p值。我们说明了我们的一般方法在高维回归模型(“差分回归”)和图形模型(“差分网络”)的两个样本比较中的使用。在这两种情况下,我们显示了模拟数据的结果,以及来自最近高通量癌症研究的真实数据。

英文摘要:

We propose novel methodology for testing equality of model parameters between two high-dimensional populations. The technique is very general and applicable to a wide range of models. The method is based on sample splitting: the data is split into two parts; on the first part we reduce the dimensionality of the model to a manageable size; on the second part we perform significance testing (p-value calculation) based on a restricted likelihood ratio statistic. Assuming that both populations arise from the same distribution, we show that the restricted likelihood ratio statistic is asymptotically distributed as a weighted sum of chi-squares with weights which can be efficiently estimated from the data. In high-dimensional problems, a single data split can result in a "p-value lottery". To ameliorate this effect, we iterate the splitting process and aggregate the resulting p-values. This multi-split approach provides improved p-values. We illustrate the use of our general approach in two-sample comparisons of high-dimensional regression models ("differential regression") and graphical models ("differential network"). In both cases we show results on simulated data as well as real data from recent, high-throughput cancer studies.

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