Power in high-dimensional testing problems

DOI10.3982/ECTA15844MaRDI QIDQ5224217zbMATH OpenOpenAlexWikidataFDO

Authors Anders Bredahl Kock, David Preinerstorfer

Publication date 19 July 2019

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1709.04418

zbMATH Keywords

asymptotic enhanceabilityhigh-dimensional testing problemsmarginal LANpower enchancement componentpower enchancement principle

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Hypothesis testing in multivariate analysis (62H15)

Abstract: Fan et al. (2015) recently introduced a remarkable method for increasing asymptotic power of tests in high-dimensional testing problems. If applicable to a given test, their power enhancement principle leads to an improved test that has the same asymptotic size, uniformly non-inferior asymptotic power, and is consistent against a strictly broader range of alternatives than the initially given test. We study under which conditions this method can be applied and show the following: In asymptotic regimes where the dimensionality of the parameter space is fixed as sample size increases, there often exist tests that can not be further improved with the power enhancement principle. However, when the dimensionality of the parameter space increases sufficiently slowly with sample size and a marginal local asymptotic normality (LAN) condition is satisfied, every test with asymptotic size smaller than one can be improved with the power enhancement principle. While the marginal LAN condition alone does not allow one to extend the latter statement to all rates at which the dimensionality increases with sample size, we give sufficient conditions under which this is the case.

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