High-dimensional simultaneous inference with the bootstrap

DOI10.1007/s11749-017-0554-2OpenAlexW2430959489MaRDI QIDQ1694480

Cun-Hui Zhang, Ruben Dezeure, Peter Bühlmann

Publication date: 2 February 2018

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.03940

zbMATH Keywords

multiple testingheteroscedastic errorsde-sparsified lassode-biased lassoGaussian approximation for maximahigh-dimensional linear modelWestfall-Young method

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Bootstrap, jackknife and other resampling methods (62F40)

Related Items

Lasso-driven inference in time and space, Variable selection in high-dimensional linear model with possibly asymmetric errors, Post-model-selection inference in linear regression models: an integrated review, Doubly debiased Lasso: high-dimensional inference under hidden confounding, Ridge regression revisited: debiasing, thresholding and bootstrap, Projection-based Inference for High-dimensional Linear Models, Nonparametric estimation of the random coefficients model: an elastic net approach, Unnamed Item, Unnamed Item, Bootstrap confidence regions based on M-estimators under nonstandard conditions, Hierarchical inference for genome-wide association studies: a view on methodology with software, Predictor ranking and false discovery proportion control in high-dimensional regression, Automatic bias correction for testing in high‐dimensional linear models, Assessing the Most Vulnerable Subgroup to Type II Diabetes Associated with Statin Usage: Evidence from Electronic Health Record Data, Weak Signal Identification and Inference in Penalized Likelihood Models for Categorical Responses, Debiasing the debiased Lasso with bootstrap, Honest Confidence Sets for High-Dimensional Regression by Projection and Shrinkage, Statistical Inference for High-Dimensional Generalized Linear Models With Binary Outcomes, Inference for High-Dimensional Linear Mixed-Effects Models: A Quasi-Likelihood Approach, Bootstrapping max statistics in high dimensions: near-parametric rates under weak variance decay and application to functional and multinomial data, Most powerful test against a sequence of high dimensional local alternatives, Unnamed Item, A Bootstrap Lasso + Partial Ridge Method to Construct Confidence Intervals for Parameters in High-dimensional Sparse Linear Models, THE FACTOR-LASSO AND K-STEP BOOTSTRAP APPROACH FOR INFERENCE IN HIGH-DIMENSIONAL ECONOMIC APPLICATIONS, Can we trust the bootstrap in high-dimension?, Beyond Gaussian approximation: bootstrap for maxima of sums of independent random vectors, Permutation testing in high-dimensional linear models: an empirical investigation, Group Inference in High Dimensions with Applications to Hierarchical Testing, Two-directional simultaneous inference for high-dimensional models, Lasso Inference for High-Dimensional Time Series, Bootstrapping and sample splitting for high-dimensional, assumption-lean inference, Bootstrap based inference for sparse high-dimensional time series models, hdi, A Bayesian-motivated test for high-dimensional linear regression models with fixed design matrix, Perturbation bootstrap in adaptive Lasso, Confidence intervals for parameters in high-dimensional sparse vector autoregression, Comments on: ``High-dimensional simultaneous inference with the bootstrap, Comments on: ``High-dimensional simultaneous inference with the bootstrap, High-dimensional linear models with many endogenous variables

Uses Software

• R
• selectiveInference
• hdm

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• On asymptotically optimal confidence regions and tests for high-dimensional models
• Rates of convergence of the adaptive LASSO estimators to the oracle distribution and higher order refinements by the bootstrap
• Statistical significance in high-dimensional linear models
• Asymptotic properties of Lasso+mLS and Lasso+Ridge in sparse high-dimensional linear regression
• Asymptotic optimality of the Westfall-Young permutation procedure for multiple testing under dependence
• High-dimensional inference in misspecified linear models
• Statistics for high-dimensional data. Methods, theory and applications.
• High-dimensional variable selection
• Controlling the false discovery rate via knockoffs
• Bootstrapping general empirical measures
• The sparsity and bias of the LASSO selection in high-dimensional linear regression
• Necessary conditions for the bootstrap of the mean
• Bootstrapping regression models
• Efficiency and robustness in resampling
• Bootstrap methods: another look at the jackknife
• Heuristics of instability and stabilization in model selection
• High-dimensional inference: confidence intervals, \(p\)-values and R-software \texttt{hdi}
• Jackknife, bootstrap and other resampling methods in regression analysis
• The adaptive and the thresholded Lasso for potentially misspecified models (and a lower bound for the Lasso)
• Uniformly valid post-regularization confidence regions for many functional parameters in z-estimation framework
• Bootstrap and wild bootstrap for high dimensional linear models
• Central limit theorems and bootstrap in high dimensions
• Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors
• High-dimensional graphs and variable selection with the Lasso
• Confidence Intervals and Hypothesis Testing for High-Dimensional Regression
• Reconstruction From Anisotropic Random Measurements
• p-Values for High-Dimensional Regression
• Bootstrapping Lasso Estimators
• A study of error variance estimation in Lasso regression
• Goodness-of-Fit Tests for High Dimensional Linear Models
• Stability Selection
• Monte Carlo Simulation for Lasso-Type Problems by Estimator Augmentation
• Variable Selection with Error Control: Another Look at Stability Selection
• Uniform post-selection inference for least absolute deviation regression and other Z-estimation problems
• An Adaptive Resampling Test for Detecting the Presence of Significant Predictors
• Group Bound: Confidence Intervals for Groups of Variables in Sparse High Dimensional Regression Without Assumptions on the Design
• Confidence Intervals for Low Dimensional Parameters in High Dimensional Linear Models