On testing the equality of high dimensional mean vectors with unequal covariance matrices

Abstract: In this article, we focus on the problem of testing the equality of several high dimensional mean vectors with unequal covariance matrices. This is one of the most important problem in multivariate statistical analysis and there have been various tests proposed in the literature. Motivated by \citet{BaiS96E} and \cite{ChenQ10T}, a test statistic is introduced and the asymptomatic distributions under the null hypothesis as well as the alternative hypothesis are given. In addition, it is compared with a test statistic recently proposed by \cite{SrivastavaK13Ta}. It is shown that our test statistic performs much better especially in the large dimensional case.