TITLE:
A New Test for Large Dimensional Regression Coefficients
AUTHORS:
June Luo, Yi-Jun Zuo
KEYWORDS:
High Dimension, Ridge Regression, Hypothesis Test, Partial Linear Model, Asymptotic
JOURNAL NAME:
Open Journal of Statistics,
Vol.1 No.3,
October
20,
2011
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.