Two-sample testing of high-dimensional linear regression coefficients via complementary sketching
通过互补压缩检验两样本高维线性回归系数
We introduce a new method for two-sample testing of high-dimensional linear regression coefficients without assuming that those coefficients are individually estimable. The procedure works by first projecting the matrices of covariates and response vectors along directions that are complementary in sign in a subset of the coordinates, a process which we call “complementary sketching.” The resulting projected covariates and responses are aggregated to form two test…