抄録
We consider a two-sample test for the mean vectors of high-dimensional data when the dimension is large compared to the sample size. In this talk, we discuss the multivariate Behrens-Fisher problem, that is, we assume that the variance-covariance matrices are not homogeneous across groups. For these situations, we propose a Dempster type test statistic. Also, we derive asymptotic null distribution and asymptotic expansion for the upper percentiles of this statistic when both the sample size and the dimension tend to infinity. Finally, we evaluate the accuracy of approximation by Monte Carlo simulation.
