Empirical likelihood test for high-dimensional two-sample model

DOI10.1016/J.JSPI.2016.05.002zbMATH Open1346.62026arXiv1504.05690OpenAlexW2963576483MaRDI QIDQ313106FDOQ313106

Authors: Gabriela Ciuperca, Zahraa Salloum 

Publication date: 9 September 2016

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Abstract: A non parametric method based on the empirical likelihood is proposed for detecting the change in the coefficients of high-dimensional linear model where the number of model variables may increase as the sample size increases. This amounts to testing the null hypothesis of no change against the alternative of one change in the regression coefficients. Based on the theoretical asymptotic behaviour of the empirical likelihood ratio statistic, we propose, for a fixed design, a simpler test statistic, easier to use in practice. The asymptotic normality of the proposed test statistic under the null hypothesis is proved, a result which is different from the $ch{i}^2$ law for a model with a fixed variable number. Under alternative hypothesis, the test statistic diverges. We can then find the asymptotic confidence region for the difference of parameters of the two phases. Some Monte-Carlo simulations study the behaviour of the proposed test statistic.

Full work available at URL: https://arxiv.org/abs/1504.05690

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zbMATH Keywords

linear modelempirical likelihood testhigh-dimensiontwo-sample

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05)

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Cited In (5)

• Empirical likelihood test for high-dimensional generalized linear models with fixed and adaptive designs
• Empirical likelihood tests for two-sample problems via nonparametric density estimation
• Test by adaptive Lasso quantile method for real-time detection of a change-point
• Empirical likelihood test for high dimensional linear models
• A review of recent advances in empirical likelihood

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