An adaptive two-sample test for high-dimensional means

Several two-sample tests for high-dimensional data have been proposed recently, but they are powerful only against certain alternative hypotheses. In practice, since the true alternative hypothesis is unknown, it is unclear how to choose a powerful test. We propose an adaptive test that maintains high power across a wide range of situations and study its asymptotic properties. Its finite-sample performance is compared with that of existing tests. We apply it and other tests to detect possible associations between bipolar disease and a large number of single nucleotide polymorphisms on each chromosome based on data from a genome-wide association study. Numerical studies demonstrate the superior performance and high power of the proposed test across a wide spectrum of applications.