Goodness of fit tests for high-dimensional linear models

Sep 13 (Tuesday) at Noon GHC-8102

Speaker: Rajen D. Shah, University of Cambridge

Abstract: In this talk I will introduce a framework for constructing goodness of fit tests in both low and high-dimensional linear models. The idea involves applying regression methods to the scaled residuals following either an ordinary least squares or Lasso fit to the data, and using some proxy for prediction error as the final test statistic. We call this family Residual Prediction (RP) tests. We show that simulation can be used to obtain the critical values for such tests in the low-dimensional setting, and demonstrate that some form of the parametric bootstrap can do the same when the high-dimensional linear model is under consideration. We show that RP tests can be used to test for significance of groups or individual variables as special cases, and here they compare favourably with state of the art methods, but we also argue that they can be designed to test for as diverse model misspecifications as heteroscedasticity and different types of nonlinearity. This is joint work with Peter B├╝hlmann. Preprint: