Debiasing the Lasso: optimal sample size for Gaussian designs

DOI10.1214/17-AOS1630zbMath1407.62270arXiv1508.02757MaRDI QIDQ1991670

Adel Javanmard, Andrea Montanari

Publication date: 30 October 2018

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.02757

zbMATH Keywords

confidence intervalssample sizehypothesis testinghigh-dimensional regressionLassobias and variance

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

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Uses Software

• selectiveInference
• covTest
• EigenPrism

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