Linear Hypothesis Testing in Linear Models With High-Dimensional Responses
高维响应线性模型中的线性假设检验
In this paper, we propose a new projection test for linear hypotheses on regression coefficient matrices in linear models with high dimensional responses. We systematically study the theoretical properties of the proposed test. We first derive the optimal projection matrix for any given projection dimension to achieve the best power and provide an upper bound for the optimal dimension of projection matrix. We further provide insights into how to construct the optimal…