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A New Test for Large Dimensional Regression Coefficients
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Open Journal of Statistics·Volume 01 (2011)·Pages 212–216·Published 20 October 2011·DOI10.4236/ojs.2011.13025
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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 <i>F</i>-test is no longer appropriate. The asymptotic distribution of the proposed test statistic under the null hypothesis is obtained.
KeywordsHigh DimensionRidge RegressionHypothesis TestPartial Linear ModelAsymptotic
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