High-dimensional inference: confidence intervals, p-values and R-software \texttt{hdi}

DOI10.1214/15-STS527zbMATH Open1426.62183arXiv1408.4026OpenAlexW3098635105MaRDI QIDQ1790302FDOQ1790302

Authors: Ruben Dezeure, Lukas Meier, Nicolai Meinshausen, Peter Bühlmann 

Publication date: 2 October 2018

Published in: Statistical Science (Search for Journal in Brave)

Abstract: We present a (selective) review of recent frequentist high-dimensional inference methods for constructing $p$-values and confidence intervals in linear and generalized linear models. We include a broad, comparative empirical study which complements the viewpoint from statistical methodology and theory. Furthermore, we introduce and illustrate the R-package hdi which easily allows the use of different methods and supports reproducibility.

Full work available at URL: https://arxiv.org/abs/1408.4026

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zbMATH Keywords

clusteringconfidence intervalgeneralized linear modellinear modelmultiple testing\(p\)-valuehigh-dimensional statistical inference

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Linear regression; mixed models (62J05) Software, source code, etc. for problems pertaining to statistics (62-04) Parametric tolerance and confidence regions (62F25) Generalized linear models (logistic models) (62J12) Paired and multiple comparisons; multiple testing (62J15)

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Uses Software

• R
• hdi

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