Montag, 08. November 2021, 16:45 - 17:45 iCal

ISOR Colloquium

"Consistency of p-norm based tests in high dimensions: characterization, monotonicity, domination"

Speaker: David Preinerstorfer (School of Economics and Political Science, University of St. Gallen)

HS 7 OMP1 (#1.303)
Oskar-Morgenstern-Platz 1, 1090 Wien


Many commonly used test statistics are based on a norm measuring the evidence against the null hypothesis. To understand how the choice of a norm affects power properties of tests in high dimensions, we study the consistency sets of p-norm based tests in the prototypical framework of sequence models with unrestricted parameter spaces, the null hypothesis being that all observations have zero mean. The consistency set of a test is here defined as the set of all arrays of alternatives the test is consistent against as the dimension of the parameter space diverges. We characterize the consistency sets of p-norm based tests and find, in particular, that the consistency against an array of alternatives cannot be determined solely in terms of the p-norm of the alternative. Our characterization also reveals an unexpected monotonicity result: namely that the consistency set is strictly increasing in $p \in (0,\infty)$, such that tests based on higher p strictly dominate those based on lower p in terms of consistency. This monotonicity allows us to construct novel tests that dominate, with respect to their consistency behavior, all p-norm based tests without sacrificing size.

Link to the preprint:


The talk also can be joined online via ZOOM:

Meeting room opens at: November 8, 2021 4.30 pm Vienna

Meeting ID: 979 7982 9569

Password: 796527

Zur Webseite der Veranstaltung


Institut für Statistik und Operations Research


Sabine Sobotka-Tompits, BA
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38631