Two-sample testing in non-sparse high-dimensional linear models

Abstract

In analyzing high-dimensional models, sparsity of the model parameter is a common but often undesirable assumption. In this paper, we study the following two-sample testing problem: given two samples generated by two high-dimensional linear models, we aim to test whether the regression coefficients of the two linear models are identical. We propose a framework named TIERS (short for TestIng Equality of Regression Slopes), which solves the two-sample testing problem without making any assumptions on the sparsity of the regression parameters. TIERS builds a new model by convolving the two samples in such a way that the original hypothesis translates into a new moment condition. A self-normalization construction is then developed to form a moment test. We provide rigorous theory for the developed framework. Under very weak conditions of the feature covariance, we show that the accuracy of the proposed test in controlling Type I errors is robust both to the lack of sparsity in the features and to the heavy tails in the error distribution, even when the sample size is much smaller than the feature dimension. Moreover, we discuss minimax optimality and efficiency properties of the proposed test. Simulation analysis demonstrates excellent finite-sample performance of our test. In deriving the test, we also develop tools that are of independent interest. The test is built upon a novel estimator, called Auto-aDaptive Dantzig Selector (ADDS), which not only automatically chooses an appropriate scale of the error term but also incorporates prior information. To effectively approximate the critical value of the test statistic, we develop a novel high-dimensional plug-in approach that complements the recent advances in Gaussian approximation theory.