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arXiv · 2603.14231

Rank-based Maxsum test for high dimensional regression coefficient

Ping Zhao·Liangliang Yuan
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Abstract

We study global inference for regression coefficients in high-dimensional linear models under potentially heavy-tailed errors. While sum-type tests are powerful for dense alternatives and max-type tests excel for sparse alternatives, practical applications rarely reveal the sparsity level, and many existing procedures rely on light-tail assumptions. Motivated by the Wilcoxon-score sum test of Feng et al. (2013) and the two Wilcoxon-score maximum tests of Xu and Zhou (2021), we establish under $H_0$ the asymptotic independence between the rank-based sum statistic and each max statistic. These joint limit results justify principled $p$-value aggregation, and we propose two adaptive rank-based maxsum tests via the Cauchy combination method (Liu and Xie, 2020). The proposed procedures inherit robustness from rank-based construction and adaptivity from combining dense- and sparse-sensitive components. Simulation studies confirm accurate size control and strong power across a wide range of error distributions and sparsity regimes.

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Ping Zhao, Liangliang Yuan. 2026-03-15. Rank-based Maxsum test for high dimensional regression coefficient. https://arxiv.org/abs/2603.14231

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