MPP Seminar | Testing general linear hypotheses under a high-dimensional multivariate regression model with spiked noise covariance by Alexander Aue – School of Economics MPP Seminar | Testing general linear hypotheses under a high-dimensional multivariate regression model with spiked noise covariance by Alexander Aue – School of Economics

MPP Seminar | Testing general linear hypotheses under a high-dimensional multivariate regression model with spiked noise covariance by Alexander Aue

School of Economics

 

Invites you to a 

Econometrics seminar presented by

Alexander Aue
(University of California – Davis)

Testing general linear hypotheses under a high-dimensional multivariate regression model with spiked noise covariance


Wednesday 13 March 2024

2.00pm – 3.30pm

 

Seminar Room 650

A02 Social Sciences Building
Camperdown Campus

The University of Sydney NSW 2006

 

 

We consider the problem of testing linear hypotheses under a multivariate regression model with a high-dimensional response and spiked noise covariance. The proposed family of tests consists of test statistics based on a weighted sum of projections of the data onto the estimated latent factor directions, with the weights acting as the regularization parameters. We establish asymptotic normality of the test statistics under the null hypothesis. We also establish the power characteristics of the tests and propose a data-driven choice of the regularization parameters under a family of local alternatives. The performance of the proposed tests is evaluated through a simulation study. Finally, the proposed tests are applied to the Human Connectome Project data to test for the presence of associations between volumetric measurements of human brain and behavioral variables.

 

For further information contact: Econometrics seminar series coordinator Dr Dakyung Seong (dakyung.seong@sydney.edu.au)

For all upcoming seminars in School of Economics see Our events and Calendar

Date

Mar 13 2024
Expired!

Time

2:00 pm - 3:30 pm

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