Empirical Likelihood Ratio Tests for Coe cients in High Dimensional Heteroscedastic Linear Models

This paper considers hypothesis testing problems for a low-dimensional coefficient vector in a high-dimensional linear model with heteroscedastic variance. Heteroscedasticity is a commonly observed phenomenon in many applications, including finance and genomic studies. Several statistical inference procedures have been proposed for low-dimensional coefficients in a high-dimensional linear model with homoscedastic variance, which are not applicable for models with heteroscedastic variance. The heterscedasticity issue has been rarely investigated and studied. We propose a simple inference procedure based on empirical likelihood to overcome the heteroscedasticity issue. The proposed method is able to make valid inference even when the conditional variance of random error is an unknown function of high-dimensional predictors. We apply our inference procedure to three recently proposed estimating equations and establish the asymptotic distributions of the proposed methods. Simulation studies and real data applications are conducted to demonstrate the proposed methods

Accounting for uncertainty in heteroscedasticity in nonlinear regression

Toxicologists and pharmacologists often describe toxicity of a chemical using parameters of a nonlinear regression model. Thus estimation of parameters of a nonlinear regression model is an important problem. The estimates of the parameters and their uncertainty estimates depend upon the underlying error variance structure in the model. Typically, a priori the researcher would know if the error variances are homoscedastic (i.e., constant across dose) or if they are heteroscedastic (i.e., the variance is a function of dose). Motivated by this concern, in this article we introduce an estimation procedure based on preliminary test which selects an appropriate estimation procedure accounting for the underlying error variance structure. Since outliers and influential observations are common in toxicological data, the proposed methodology uses M-estimators. The asymptotic properties of the preliminary test estimator are investigated; in particular its asymptotic covariance matrix is derived. The performance of the proposed estimator is compared with several standard estimators using simulation studies. The proposed methodology is also illustrated using a data set obtained from the National Toxicology Program

Empirical likelihood for heteroscedastic partially linear models

We make empirical-likelihood-based inference for the parameters in heteroscedastic partially linear models. Unlike the existing empirical likelihood procedures for heteroscedastic partially linear models, the proposed empirical likelihood is constructed using components of a semiparametric efficient score. We show that it retains the double robustness feature of the semiparametric efficient estimator for the parameters and shares the desirable properties of the empirical likelihood for linear models. Compared with the normal approximation method and the existing empirical likelihood methods, the empirical likelihood method based on the semiparametric efficient score is more attractive not only theoretically but empirically. Simulation studies demonstrate that the proposed empirical likelihood provides smaller confidence regions than that based on semiparametric inefficient estimating equations subject to the same coverage probabilities. Hence, the proposed empirical likelihood is preferred to the normal approximation method as well as the empirical likelihood method based on semiparametric inefficient estimating equations, and it should be useful in practice.62F35 62G20 Double robustness Empirical likelihood Heteroscedasticity Kernel estimation Partially linear model Semiparametric efficiency