A New Test for Large Dimensional Regression Coefficients

• 作者: June Luo Yi-Jun Zuo
• 来源期刊: 统计学期刊(英文)
• 学科: 数学
• 关键词: High DIMENSION RIDGE Regression HYPOTHESIS TEST PARTIAL Linear Model ASYMPTOTIC
• 年，卷（期）: 2011,（3）
• 页码范围: 212-216
• 页数: 5页
• 分类号: O21

摘要

In the article, hypothesis test for coefficients in high dimensional regression models is considered. I develop simultaneous test statistic for the hypothesis test in both linear and partial linear models. The derived test is designed for growing p and fixed n where the conventional F-test is no longer appropriate. The asymptotic distribution of the proposed test statistic under the null hypothesis is obtained.