Test for high dimensional partially linear models

Xiangyong Tan

Communications in Statistics - Theory and Methods, 2022, vol. 51, issue 18, 6423-6434

Abstract: In this paper, we study the hypothesis test for regression coefficients of partially linear models when the number of covariates in the linear part diverges. We propose a U-type test statistic. Asymptotic properties of the proposed test statistic are derived under null and local alternative on mild conditions. Extensive numerical examples are presented to demonstrate the advantages of the proposed test statistic for finite sample size.

Date: 2022
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DOI: 10.1080/03610926.2020.1861297

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