Nonuniformity of P-values Can Occur Early in Diverging Dimensions

Autor:	Fan, Yingying, Demirkaya, Emre, Lv, Jinchi
Rok vydání:	2017
Předmět:	Statistics - Methodology 62H15 (primary) 62F03 62J12 (secondary)
Druh dokumentu:	Working Paper
Popis:	Evaluating the joint significance of covariates is of fundamental importance in a wide range of applications. To this end, p-values are frequently employed and produced by algorithms that are powered by classical large-sample asymptotic theory. It is well known that the conventional p-values in Gaussian linear model are valid even when the dimensionality is a non-vanishing fraction of the sample size, but can break down when the design matrix becomes singular in higher dimensions or when the error distribution deviates from Gaussianity. A natural question is when the conventional p-values in generalized linear models become invalid in diverging dimensions. We establish that such a breakdown can occur early in nonlinear models. Our theoretical characterizations are confirmed by simulation studies. Comment: 23 pages including 8 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1705.03604 Zobrazit plný text záznamu View this record from Arxiv