Kavli Affiliate: Feng Long
| Summary:
We consider one-sample testing of a high-dimensional location parameter under elliptically symmetric distributions with heavy tails and pervasive cross-sectional dependence. We propose an elliptical regularized Hotelling test with Cauchy combination (ERHT–CC), based on the sample spatial median and the spatial-sign covariance matrix centered at that median. We derive its null asymptotic normality, consistent estimators of the centering and variance, and an explicit local power function. Since the power-optimal ridge parameter depends on the unknown alternative, we aggregate fixed-ridge $p$-values over a deterministic grid using the Cauchy rule. We establish a finite-grid joint Gaussian limit, justify the analytic combined $p$-value without estimating cross-ridge correlations, and characterize its local power. Simulation studies and an empirical analysis demonstrate the favorable finite-sample performance of ERHT–CC under heavy tails and pervasive dependence.
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