Recent developments in microarray technology make it possible to capture the gene expression profiles for thousands of genes at once. With this data researchers are tackling problems ranging from the identification of ‘cancer genes’ to the formidable task of adding functional annotations to our rapidly growing gene databases. Specific research questions suggest patterns of gene expression that are interesting and informative: for instance, genes with large variance or groups of genes that are highly correlated. Cluster analysis and related techniques are proving to be very useful. However, such exploratory methods alone do not provide the opportunity to engage in statistical inference. Given the high dimensionality (thousands of genes) and small sample sizes (often 0 of the population mean and covariance. The practical performance of the method using a cluster‐based subset rule is illustrated with a simulation study. The method is illustrated with an analysis of a publicly available leukemia data set.