Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1145889 | Journal of Multivariate Analysis | 2013 | 16 Pages |
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
Authors
Siyang Wang, Hengjian Cui,