Goodness-of-fit tests for high-dimensional Gaussian linear models

DOI10.1214/08-AOS629MaRDI QIDQ2380086zbMATH OpenOpenAlexFDO

Authors Nicolas Verzelen, Fanny Villers

Publication date 24 March 2010

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0711.2119

zbMATH Keywords

adaptive testingellipsoidGaussian graphical modelsgoodness-of-fitlinear regressionminimax hypothesis testingminimax separation ratemultiple testing

Mathematics Subject Classification ID

Applications of graph theory (05C90) Nonparametric hypothesis testing (62G10) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20) Linear regression; mixed models (62J05)

Abstract: Let $(Y,(X_i{)}_{iinmathcalI})$ be a zero mean Gaussian vector and $V$ be a subset of $mathcalI$. Suppose we are given $n$ i.i.d. replications of the vector $(Y,X)$. We propose a new test for testing that $Y$ is independent of $$ conditionally to $(X_i{)}_{iinV}$ against the general alternative that it is not. This procedure does not depend on any prior information on the covariance of $X$ or the variance of $Y$ and applies in a high-dimensional setting. It straightforwardly extends to test the neighbourhood of a Gaussian graphical model. The procedure is based on a model of Gaussian regression with random Gaussian covariates. We give non asymptotic properties of the test and we prove that it is rate optimal (up to a possible $log(n)$ factor) over various classes of alternatives under some additional assumptions. Besides, it allows us to derive non asymptotic minimax rates of testing in this setting. Finally, we carry out a simulation study in order to evaluate the performance of our procedure.

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Cited in

(24)

• Adaptive tests of linear hypotheses by model selection
• Combinatorial inference for graphical models
• Adaptive estimation of high-dimensional signal-to-noise ratios
• NN goodness-of-fit tests for linear models
• Minimax risks for sparse regressions: ultra-high dimensional phenomenons
• Detection boundary in sparse regression
• Optimal estimation of variance in nonparametric regression with random design
• Optimal sparsity testing in linear regression model
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• Classical testing in functional linear models
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• Goodness-of-fit testing-based selection for large-p-small-n problems: a two-stage ranking approach
• A consistent goodness-of-fit test for huge dimensional and functional data
• Goodness-of-Fit Tests for High Dimensional Linear Models
• A joint test for parametric specification and independence in nonlinear regression models
• Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations
• F-type testing in functional linear models
• Multiple hypothesis testing for variable selection
• Goodness-of-fit tests for high-dimensional Gaussian graphical models via exchangeable sampling
• Tests for Gaussian graphical models
• High-dimensional Gaussian model selection on a Gaussian design

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Uses Software

• GMRFLib

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