High-Dimensional Analysis of Complex Dependent Data

• Activity Number: 220 - High-Dimensional Analysis of Complex Dependent Data
• Type: Invited
• Date/Time: Wednesday, August 11, 2021 : 10:00 AM to 11:50 AM
• Sponsor: Business and Economic Statistics Section
• Author(s): Anders Kock*
• Companies: University of Oxford
• Keywords: High-dimensional models; Optimal tests

Abstract

In a Gaussian location model, we characterize the sets of all alternatives that a p-(quasi)norm based test with non-trivial asymptotic size is consistent against, i.e., its ``consistency set." We discuss several consequences of this characterization.