A New Test for Large Dimensional Regression Coefficients

June Luo, Yi-Jun Zuo

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DOI: 10.4236/ojs.2011.13025                

Abstract

In the article, hypothesis test for coefficients in high dimensional regression models is considered. I develop simultaneous test statistic for the hypothesis test in both linear and partial linear models. The derived test is designed for growing p and fixed n where the conventional F-test is no longer appropriate. The asymptotic distribution of the proposed test statistic under the null hypothesis is obtained.

Keywords

High Dimension, Ridge Regression, Hypothesis Test, Partial Linear Model, Asymptotic

Conflicts of Interest

The authors declare no conflicts of interest.

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