Thresholding tests

We derive a new class of statistical tests for generalized linear models based on thresholding point estimators. These tests can be employed whether the model includes more parameters than observations or not. For linear models, our tests rely on pivotal statistics derived from model selection techniques. Affine lasso, a new extension of lasso, allows to unveil new tests and to develop in the same framework parametric and nonparametric tests. Our tests for generalized linear models are based on new asymptotically pivotal statistics. A composite thresholding test attempts to achieve uniformly most power under both sparse and dense alternatives with success. In a simulation, we compare the level and power of these tests under sparse and dense alternative hypotheses. The thresholding tests have a better control of the nominal level and higher power than existing tests.