Article ID Journal Published Year Pages File Type
1145889 Journal of Multivariate Analysis 2013 16 Pages PDF
Abstract

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

Related Topics
Physical Sciences and Engineering Mathematics Numerical Analysis
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