Testing linear hypotheses in high-dimensional regressions

DOI10.1080/02331888.2012.708031zbMATH Open1440.62215arXiv1206.0867OpenAlexW1975555023MaRDI QIDQ2863100FDOQ2863100

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

Publication date: 21 November 2013

Published in: Statistics (Search for Journal in Brave)

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.

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

Recommendations

• Likelihood ratio test in multivariate linear regression: from low to high dimension
• Likelihood ratio tests for high-dimensional normal distributions
• The likelihood ratio test for high-dimensional linear regression model
• Corrections to LRT on large-dimensional covariance matrix by RMT
• Limiting distributions of likelihood ratio test for independence of components for high-dimensional normal vectors

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)

Cites Work

• Title not available (Why is that?)
• A test for the equality of covariance matrices when the dimension is large relative to the sample sizes
• Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
• Corrections to LRT on large-dimensional covariance matrix by RMT
• CERTAIN GENERALIZATIONS IN THE ANALYSIS OF VARIANCE
• Title not available (Why is that?)
• Central limit theorems for linear spectral statistics of large dimensional \(F\)-matrices
• A High Dimensional Two Sample Significance Test
• On the distribution of the likelihood ratio criterion for testing linear hypotheses on regression coefficients
• Moment-generating operators for determinants of product moments in samples from a normal system

Cited In (27)

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

This page was built for publication: Testing linear hypotheses in high-dimensional regressions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2863100)