High dimensional asymptotics of likelihood ratio tests in the Gaussian sequence model under convex constraints

Qiyang Han is an assistant professor of Statistics at Rutgers University. He received a Ph.D. in Statistics from University of Washington under the supervision of Professor Jon A. Wellner. He is broadly interested in mathematical statistics and high dimensional probability, with a particular focus on empirical process theory and its applications to nonparametric and high dimensional statistics.

In the Gaussian sequence model $Y=\mu+\xi$, we study the likelihood ratio test (LRT) for testing $H_0: \mu=\mu_0$ versus $H_1: \mu \in K$, where $\mu_0 \in K$, and $K$ is a closed convex set in $\R^n$. In particular, we show that under the null hypothesis, normal approximation holds for the log-likelihood ratio statistic for a general pair $(\mu_0,K)$, in the high dimensional regime where the estimation error of the associated least squares estimator diverges in an appropriate sense. The normal approximation further leads to a precise characterization of the power behavior of the LRT in the high dimensional regime. These characterizations show that the power behavior of the LRT is in general non-uniform with respect to the Euclidean metric, and illustrate the conservative nature of existing minimax optimality and sub-optimality results for the LRT. A variety of examples, including testing in the orthant/circular cone, isotonic regression, Lasso, and testing parametric assumptions versus shape-constrained alternatives, are worked out to demonstrate the versatility of the developed theory.

This talk is based on joint work with Yandi Shen(UW, Chicago) and Bodhisattva Sen(Columbia).