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High-dimensional rank-based inference

ABSTRACT Existing high-dimensional inferential methods for comparing multiple groups test hypotheses are formulated in terms of mean vectors or location parameters. These methods are applicable mainly for metric data. Furthermore, the mean-based methods assume that moments exist and the nonparametric (location-based) ones assume elliptical-contoured distributions for the populations. In this paper, a fully nonparametric (rank-based) method is proposed. The method is applicable for metric as well as non-metric data and, hence, is applicable for ordered categorical as well as skewed and heavy tailed data. To develop the theory, we prove a novel result for studying asymptotic behaviour of quadratic forms in ranks. Simulation study shows that the developed rank-based method performs comparably well with mean-based methods when the assumptions of those methods are satisfied. However, it has significantly superior power for heavy tailed distributions with the possibility of outliers. The rank method is applied to an EEG data with the objective of examining associations between alcohol use and change in brain function.