Note on High Dimensional Spatial-Sign Test for One Sample Problem
By: Ping Zhao, Long Feng
We revisit the null distribution of the high-dimensional spatial-sign test of Wang et al. (2015) under mild structural assumptions on the scatter matrix. We show that the standardized test statistic converges to a non-Gaussian limit, characterized as a mixture of a normal component and a weighted chi-square component. To facilitate practical implementation, we propose a wild bootstrap procedure for computing critical values and establish its asymptotic validity. Numerical experiments demonstrate that the proposed bootstrap test delivers accurate size control across a wide range of dependence settings and dimension-sample-size regimes.
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