Testing linear hypotheses in high-dimensional regressions

For a multivariate linear model, Wilks likelihood ratio test (LRT) constitutes one of the cornerstone tools. However, the computation of its quantiles under the null or the alternative requires complex analytic approximations and more importantly, these distributional approximations are feasible only for moderate dimension of the dependent variable, say $ple 20$. On the other hand, assuming that the data dimension $p$ as well as the number $q$ of regression variables are fixed while the sample size $n$ grows, several asymptotic approximations are proposed in the literature for Wilks $bLa$ including the widely used chi-square approximation. In this paper, we consider necessary modifications to Wilks test in a high-dimensional context, specifically assuming a high data dimension $p$ and a large sample size $n$. Based on recent random matrix theory, the correction we propose to Wilks test is asymptotically Gaussian under the null and simulations demonstrate that the corrected LRT has very satisfactory size and power, surely in the large $p$ and large $n$ context, but also for moderately large data dimensions like $p=30$ or $p=50$. As a byproduct, we give a reason explaining why the standard chi-square approximation fails for high-dimensional data. We also introduce a new procedure for the classical multiple sample significance test in MANOVA which is valid for high-dimensional data.