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Register a new userGoodness-of-fit Tests for high-dimensional Gaussian linear models
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Added by
Nicolas Verzelen
Publication date
2008
fields
Mathematical Statistics
and research's language is
English
Authors
Nicolas Verzelen
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Let $(Y,(X_i)_{iinmathcal{I}})$ be a zero mean Gaussian vector and $V$ be a subset of $mathcal{I}$. Suppose we are given $n$ i.i.d. replications of the vector $(Y,X)$. We propose a new test for testing that $Y$ is independent of $(X_i)_{iin mathcal{I}backslash V}$ conditionally to $(X_i)_{iin V}$ against the general alternative that it is not. This procedure does not depend on any prior information on the covariance of $X$ or the variance of $Y$ and applies in a high-dimensional setting. It straightforwardly extends to test the neighbourhood of a Gaussian graphical model. The procedure is based on a model of Gaussian regression with random Gaussian covariates. We give non asymptotic properties of the test and we prove that it is rate optimal (up to a possible $log(n)$ factor) over various classes of alternatives under some additional assumptions. Besides, it allows us to derive non asymptotic minimax rates of testing in this setting. Finally, we carry out a simulation study in order to evaluate the performance of our procedure.
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