Generalized F test for high dimensional linear regression coefficients

Abstract

To test the regression coefficients of linear models, the conventional F-test has been suggested. This paper investigates the performance of the generalized F-test for testing regression coefficients in high dimensional linear regression under the case of p/n −→ ρ(0 < ρ < 1). The asymptotic normality of generalized F-statistic is obtained under some regular… (More)
DOI: 10.1016/j.jmva.2013.02.010

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