Empirical likelihood test for high dimensional linear models

Liang Peng, Yongcheng Qi and Ruodu Wang

Statistics & Probability Letters, 2014, vol. 86, issue C, 85-90

Abstract: We propose an empirical likelihood method to test whether the coefficients in a possibly high-dimensional linear model are equal to given values. The asymptotic distribution of the test statistic is independent of the number of covariates in the linear model.

Keywords: Empirical likelihood; High-dimensional data; Hypothesis test; Linear model (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2013.12.019

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