Generalized F test for high dimensional linear regression coefficients

Siyang Wang and Hengjian Cui

Journal of Multivariate Analysis, 2013, vol. 117, issue C, 134-149

Abstract: To test the regression coefficients of linear models, the conventional F-test has been suggested. This paper investigates the performance of the generalized F-test for testing regression coefficients in high dimensional linear regression under the case of p/n⟶ρ(0<ρ<1). The asymptotic normality of generalized F-statistic is obtained under some regular conditions, and then the power of the F-test is derived. Some comparisons and an illustrated example are also presented.

Keywords: Regression coefficients; High dimensional regression; Generalized F-statistic; Power of test (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:117:y:2013:i:c:p:134-149

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DOI: 10.1016/j.jmva.2013.02.010

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