Testing linear hypotheses in high-dimensional regressions

DOI10.1080/02331888.2012.708031MaRDI QIDQ2863100zbMATHOpenAlexFDO

Authors Zhidong Bai, Dandan Jiang, Shurong Zheng, Jian-Feng Yao

Publication date 21 November 2013

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1206.0867

zbMATH Keywords

high-dimensional datamultivariate regressionrandom matricesmultivariate analysis of variancemultiple sample significance testWilk's test

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Analysis of variance and covariance (ANOVA) (62J10) Random matrices (probabilistic aspects) (60B20)

Abstract: For a multivariate linear model, Wilk's likelihood ratio test (LRT) constitutes one of the cornerstone tools. However, the computation of its quantiles under the null or the alternative requires complex analytic approximations and more importantly, these distributional approximations are feasible only for moderate dimension of the dependent variable, say $ple20$. On the other hand, assuming that the data dimension $p$ as well as the number $q$ of regression variables are fixed while the sample size $n$ grows, several asymptotic approximations are proposed in the literature for Wilk's $$ including the widely used chi-square approximation. In this paper, we consider necessary modifications to Wilk's test in a high-dimensional context, specifically assuming a high data dimension $p$ and a large sample size $n$. Based on recent random matrix theory, the correction we propose to Wilk's test is asymptotically Gaussian under the null and simulations demonstrate that the corrected LRT has very satisfactory size and power, surely in the large $p$ and large $n$ context, but also for moderately large data dimensions like $p=30$ or $p=50$. As a byproduct, we give a reason explaining why the standard chi-square approximation fails for high-dimensional data. We also introduce a new procedure for the classical multiple sample significance test in MANOVA which is valid for high-dimensional data.

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Cited in

(27)

• The likelihood ratio test for high-dimensional linear regression model
• Modified Pillai's trace statistics for two high-dimensional sample covariance matrices
• CLT for linear spectral statistics of large dimensional sample covariance matrices with dependent data
• Hypergeometric functions of matrix arguments and linear statistics of multi-spiked Hermitian matrix models
• On the sphericity test with large-dimensional observations
• Asymptotic linear spectral statistics for spiked Hermitian random matrices
• Testing General Linear Hypotheses Under a High-Dimensional Multivariate Regression Model with Spiked Noise Covariance
• Two-Sample Tests for High-Dimensional Linear Regression with an Application to Detecting Interactions
• High-dimensional linear models: a random matrix perspective
• Likelihood-based tests on moderate-high-dimensional mean vectors with unequal covariance matrices
• Linear eigenvalue statistics of XX′ matrices
• Moderate deviation principle for likelihood ratio test in multivariate linear regression model
• CLT for linear spectral statistics of a rescaled sample precision matrix
• Joint convergence of sample autocovariance matrices when \(p/n\to 0\) with application
• Likelihood ratio tests for many groups in high dimensions
• High-dimensional general linear hypothesis tests via non-linear spectral shrinkage
• Substitution principle for CLT of linear spectral statistics of high-dimensional sample covariance matrices with applications to hypothesis testing
• The relative effects of dimensionality and multiplicity of hypotheses on the \(F\)-test in linear regression
• Likelihood ratio test in multivariate linear regression: from low to high dimension
• Testability of high-dimensional linear models with nonsparse structures
• Goodness-of-Fit Tests for High Dimensional Linear Models
• Moderate-Dimensional Inferences on Quadratic Functionals in Ordinary Least Squares
• Testing covariates in high-dimensional regression
• PCA likelihood ratio test approach for attributed social networks monitoring
• Comparison of exact parametric tests for high-dimensional data
• Testing regression coefficients in high-dimensional and sparse settings
• Confidence Intervals and Hypothesis Testing for High-Dimensional Regression

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