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A Sequential Rejection Testing Method for High-Dimensional Regression with Correlated Variables

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  • Mandozzi Jacopo
  • Bühlmann Peter

    (Libera AG, Zürich, Switzerland)

Abstract

We propose a general, modular method for significance testing of groups (or clusters) of variables in a high-dimensional linear model. In presence of high correlations among the covariables, due to serious problems of identifiability, it is indispensable to focus on detecting groups of variables rather than singletons. We propose an inference method which allows to build in hierarchical structures. It relies on repeated sample splitting and sequential rejection, and we prove that it asymptotically controls the familywise error rate. It can be implemented on any collection of clusters and leads to improved power in comparison to more standard non-sequential rejection methods. We complement the theoretical analysis with empirical results for simulated and real data.

Suggested Citation

  • Mandozzi Jacopo & Bühlmann Peter, 2016. "A Sequential Rejection Testing Method for High-Dimensional Regression with Correlated Variables," The International Journal of Biostatistics, De Gruyter, vol. 12(1), pages 79-95, May.
    • Handle: RePEc:bpj:ijbist:v:12:y:2016:i:1:p:79-95:n:4
    DOI: 10.1515/ijb-2015-0008
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