【摘 要】
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In high dimensional linear regression, we propose a novel procedure in testing for statistical significance of a subset of regression coefficients.Specifica
【出 处】
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The Third IMS-China International Conference on Statistics a
论文部分内容阅读
In high dimensional linear regression, we propose a novel procedure in testing for statistical significance of a subset of regression coefficients.Specifically, we apply partial covariances to extend the scope of the commonly used partial F-test to the context of high dimensional data.Under the null hypothesis, we show that the resulting test statistic is asymptotically normal.We also investigate analytically the power of the test.Moreover, the finite sample performance of the proposed test is investigated through simulation studies, and the usefulness of the test is illustrated via an empirical example on paid search advertising.
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