We propose an empirical likelihood method to test whether the coefficients in a possibly high-dimensional linear model are equal to given values. The asymptotic distribution of the test statistic is independent of the number of covariates in the linear model.
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We thank the reviewer for constructive comments, which weaken the conditions in Theorem 1 and simplify the proofs of Lemma 1 , Example 1 and Theorem 1 . Peng’s research was supported by the NSF Grant DMS-1005336 , Qi’s research was supported by the NSF Grant DMS-1005345 and Wang’s research was supported by the Natural Sciences and Engineering Research Council of Canada .
- Empirical likelihood
- High-dimensional data
- Hypothesis test
- Linear model