Goodness-of-fit tests for high dimensional linear models

We propose a framework for constructing goodness-of-fit tests in both low and high dimensional linear models. We advocate 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 te...

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Veröffentlicht in:	Journal of the Royal Statistical Society. Series B, Statistical methodology Statistical methodology, 2018-01, Vol.80 (1), p.113-135
Hauptverfasser:	Shah, Rajen D., Bühlmann, Peter
Format:	Artikel
Sprache:	eng
Schlagworte:	Bootstrap Computer simulation Diagnostics Economic models Goodness of fit High dimensional models Lasso Linear analysis Linearity Mathematical models Regression analysis Simulation Statistical analysis Statistical methods Statistics
Online-Zugang:	Volltext
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