Fixed-size confidence regions in high-dimensional sparse linear regression models

DOI10.1080/07474946.2015.1063258MaRDI QIDQ3194549zbMATH OpenOpenAlexFDO

Authors Ching-Kang Ing, Tze Leung Lai

Publication date 20 October 2015

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474946.2015.1063258

zbMATH Keywords

fixed-width confidence intervalshigh-dimensional information criterionorthogonal greedy algorithmtwo-stage procedurevariable selection

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Linear regression; mixed models (62J05) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

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Cites work

• A stepwise regression method and consistent model selection for highdimensional sparse linear models
• A Two-Sample Test for a Linear Hypothesis Whose Power is Independent of the Variance
• Discussion on ``Sequential estimation for time series models by T. N. Sriram and Ross Iaci
• Estimation in the general linear model when the accuracy is specified before data collection
• Fixed accuracy estimation of an autoregressive parameter
• Fixed Size Confidence Ellipsoids for Linear Regression Parameters
• Greed is Good: Algorithmic Results for Sparse Approximation
• On Fixed-Width Confidence Bounds for Regression Parameters
• On the Asymptotic Theory of Fixed-Size Sequential Confidence Bounds for Linear Regression Parameters
• On the Asymptotic Theory of Fixed-Width Sequential Confidence Intervals for the Mean
• On the Non-Existence of Tests of "Student's" Hypothesis Having Power Functions Independent of \sigma
• Regularization and Variable Selection Via the Elastic Net
• Sequential estimation for time series models
• Signal Recovery From Random Measurements Via Orthogonal Matching Pursuit
• The Adaptive Lasso and Its Oracle Properties
• Two-stage procedures for high-dimensional data
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Weak greedy algorithms

Cited in

(6)

• On fixed-size confidence regions for the regression parameters
• Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso
• Confidence sets in sparse regression
• scientific article; zbMATH DE number 63493 (Why is no real title available?)
• Group Bound: Confidence Intervals for Groups of Variables in Sparse High Dimensional Regression Without Assumptions on the Design
• Confidence sets based on sparse estimators are necessarily large

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