Power in High-Dimensional Testing Problems

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DOI

Fan, Liao, and Yao (2015) recently introduced a remarkable method for increasing the asymptotic power of tests in high-dimensional testing problems. If applicable to a given test, their power enhancement principle leads to an improved test that has the same asymptotic size, has uniformly non-inferior asymptotic power, and is consistent against a strictly broader range of alternatives than the initially given test. We study under which conditions this method can be applied and show the following: In asymptotic regimes where the dimensionality of the parameter space is fixed as sample size increases, there often exist tests that cannot be further improved with the power enhancement principle. However, when the dimensionality of the parameter space increases sufficiently slowly with sample size and a marginal local asymptotic normality (LAN) condition is satisfied, every test with asymptotic size smaller than 1 can be improved with the power enhancement principle. While the marginal LAN condition alone does not allow one to extend the latter statement to all rates at which the dimensionality increases with sample size, we give sufficient conditions under which this is the case.

Original languageEnglish
JournalEconometrica
Volume87
Issue3
Pages (from-to)1055-1069
Number of pages15
ISSN0012-9682
DOIs
Publication statusPublished - 1 May 2019

    Research areas

  • asymptotic enhanceability, High-dimensional testing problems, marginal LAN, power enhancement component, power enhancement principle

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