An R implementation of High-dimensional general linear hypothesis tests via non-linear spectral shrinkage by Haoran Li, Alexander Aue, and Debashis Paul (2020), published in Bernoulli. Includes the higher-order regularizers described in the supplementary material.
Li, H., Aue, A., and Paul, D. (2020). High-dimensional general linear hypothesis tests via non-linear spectral shrinkage. Bernoulli, 26(4), 2541–2571. doi:10.3150/19-BEJ1186.
To retrieve the publication citation and BibTeX entry in R:
citation("ReguGLH")
install.packages("ReguGLH_0.1.0.tar.gz", repos = NULL, type = "source")
library(ReguGLH)
set.seed(1)
Y <- matrix(rnorm(10 * 40), 10, 40)
X <- rbind(1, rep(c(0, 1), each = 20))
C <- matrix(c(0, 1), 2, 1)
fit <- glh_test(Y, X, C, family = "linear", mode = "single",
prior = c(1, 0, 0))
fit$p.value
fit <- glh_test(Y, X, C, family = "cubic", mode = "composite",
priors = diag(3), nsim = 10000)
fit$parameters
fit$p.value
The two independent choices are family = "linear", "cubic", or "general",
and mode = "single" or "composite". All calls return LR, LH, and BNP results.
Y is p by N, X is k by N, and C is k by q. The hypothesis is BC = 0.
The residual covariance is YY-transpose after projection, divided by N-k.
parameters.
Default: 60 log-spaced candidates from -0.01 to -100.parameters row
contains l0,l1,l2,l3 in increasing degree order. Closed forms use simple
roots and partial-fraction weights. Repeated/near-repeated roots are rejected,
following the supplement. The default cubic_grid() implements the suggested
ranges with a modest resolution of five per dimension; raise resolution
and supply the grid to study sensitivity. Monotonicity is checked analytically.regularizer(z, parameter) accepting complex z. Null means, covariances,
and prior power numerators use midpoint trapezoidal contour quadrature.A single test selects the grid candidate maximizing the estimated power
numerator divided by sqrt(Delta) under prior. Composite tests select once
per row of priors, take componentwise maxima, and calibrate against correlated
Gaussian maxima. Negative covariance eigenvalues are set to zero as in the
manuscript. Monte Carlo p-values use (exceedances+1)/(nsim+1); coincident selections
use the exact univariate Gaussian tail. Set the R random seed before calling to
reproduce composite results. Priors are nonnegative weights of I, Sigma, Sigma^2.
Selection is optimal over the supplied finite grid, rather than a guarantee of a continuous global optimum. The implementation currently computes the full candidate covariance matrix, so memory and time grow quadratically with grid size. It also uses a full p by p eigen decomposition; large-p optimization remains future work.
# Reproduce two ridge candidates using the general integration path.
# Use an upper bound enclosing poles of the empirical Theta kernel as well.
N <- ncol(Y); n <- N - nrow(X)
residual <- t(qr.resid(qr(t(X)), t(Y)))
e <- pmax(eigen(tcrossprod(residual)/n, symmetric = TRUE)$values, 0)
edge <- max(e) + (nrow(Y)/n)*mean(e) + 1
contour <- list(center = edge/2, radius = edge/2 + 0.1)
general <- glh_test(Y, X, C, family = "general", mode = "composite",
parameters = matrix(c(-1, -2), ncol = 1),
regularizer = function(z, parameter) 1/(z - parameter[1]),
contour = contour, nquad = 512)
A user-supplied circle must enclose the spectrum and empirical kernel poles,
while excluding singularities of every regularizer. Analyticity of arbitrary
user functions cannot be established automatically. Check stability after doubling
nquad and changing the contour within its admissible region. Returned
moments$complex retains the unmodified complex quadrature approximations;
real parts enter the manuscript formulas only after checking imaginary remainders.
No absolute value is substituted for signed contour estimates. Nonpositive variance
estimates fail explicitly. The implementation requires positive shrinkage at the
observed eigenvalues for LR/LH/BNP.
tests/numerics.R checks contour integrals against ridge and cubic reduced
forms (including conjugate complex roots), p below and above residual sample
size, one-dimensional responses/contrasts, coincident selections, and invalid inputs.
tests/legacy.R compares ridge statistics and calibrated p-values against the original
RGLHComlin implementation using the same grid and residual eigendecomposition.
The theoretical basis is the main manuscript's null limit, empirical counterparts,
prior rho recursion, and composite calibration, and the supplement's cubic algorithm.
Numerical agreement is not a finite-sample validity guarantee: the manuscript's
asymptotic assumptions still apply. A broader simulation study is recommended
before drawing conclusions about settings beyond those evaluated below.
License: GPL-3. Package author and maintainer: Haoran Li. Alexander Aue and Debashis Paul are credited as coauthors of the cited publication. Maintainer: Haoran Li hzl0152@auburn.edu. Secondary contact: haoranli1990@gmail.com.
A reproducible small simulation used balanced three-group Gaussian MANOVA, AR(1) error covariance with correlation 0.4, N = 90, p = 45 or 135, and 500 null replicates per setting. It evaluated all three families, three canonical single priors, and the composite test on small explicit candidate grids.
Across these settings, rejection rates at nominal 5% were 3.8--6.6% for LR, 5.4--7.6% for LH, and 2.8--6.2% for BNP. The Monte Carlo standard error near 5% is approximately one percentage point. Four of 72 pointwise exact 95% binomial confidence intervals excluded 5%; these comparisons are correlated and no simultaneous size-control conclusion is claimed. LH shows mild finite-sample inflation and BNP is conservative in some settings.
Power increased at every tested signal and sample-size step. At fixed signal norm 0.8, composite power increased from 42.0--63.0% at (N,p) = (90,45) to 97.0--99.5% at (360,180), with 200 replicates per alternative setting. This supports the expected trend but does not prove asymptotic consistency.
No method evaluation failed. General-family integration estimates at 256 and 512 nodes differed by at most 8.22e-15 in the checked exponential-family examples. Such agreement does not guarantee accuracy for arbitrary user functions. The study does not cover heavy tails or all covariance and alternative structures. See the installed VALIDATION.md for numerical formula checks and method details.