Asymptotic equivalence of full and Gaussian maxT power

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Let H‾\overline{H} be the matrix appearing in the maxT procedure, let ι\iota denote the all-ones vector, and define

h‾=H‾ι.\overline{h}=\overline{H}\iota.

Suppose that EE has independent and identically distributed rows with distribution N(0,I)\mathcal{N}(0,I), and that μl=μ1\mu_l=\mu_1 for every 1≤l≤p1\leq l\leq p. Let Z1∼N(n1/2μ1,1)Z_1\sim\mathcal{N}(n^{1/2}\mu_1,1), and let YY have independent and identically distributed rows with distribution N(0,I)\mathcal{N}(0,I). Writing qαh‾q_\alpha^{\overline{h}} and qαh‾,Yq_\alpha^{\overline{h},Y} for the relevant maxT quantiles, asymptotic power equivalence conjecture. As p,n→∞p,n\to\infty,

∣1p∑j=1pPE[n1/2μ1+ι′Ej>qαh‾(n1/2h‾′ιμ1+max⁡ih‾′Ei)]−PZ1[Z1>qαh‾,Y(n1/2h‾′ιμ1+max⁡1≤l≤pYl)]∣→0.\left|\frac{1}{p}\sum_{j=1}^p \mathbb{P}_E\left[n^{1/2}\mu_1+\iota'E_j>q_\alpha^{\overline{h}}\left(n^{1/2}\overline{h}'\iota\mu_1+\max_i\overline{h}'E_i\right)\right]-\mathbb{P}_{Z_1}\left[Z_1>q_\alpha^{\overline{h},Y}\left(n^{1/2}\overline{h}'\iota\mu_1+\max_{1\leq l\leq p}Y_l\right)\right]\right|\to0.

The conjecture asserts that the average rejection probability based on the full error matrix is asymptotically equivalent to the corresponding probability computed using an auxiliary Gaussian matrix. Its validity is presented heuristically in the paper, and no resolution is supplied in the source.

References

Primary source

Nick W. Koning, “More Power by using Fewer Permutations”, arXiv:2307.12832 (2023).

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