Confidence intervals for high-dimensional linear regression: minimax rates and adaptivity
From MaRDI portal
Publication:2012200
Abstract: Confidence sets play a fundamental role in statistical inference. In this paper, we consider confidence intervals for high dimensional linear regression with random design. We first establish the convergence rates of the minimax expected length for confidence intervals in the oracle setting where the sparsity parameter is given. The focus is then on the problem of adaptation to sparsity for the construction of confidence intervals. Ideally, an adaptive confidence interval should have its length automatically adjusted to the sparsity of the unknown regression vector, while maintaining a prespecified coverage probability. It is shown that such a goal is in general not attainable, except when the sparsity parameter is restricted to a small region over which the confidence intervals have the optimal length of the usual parametric rate. It is further demonstrated that the lack of adaptivity is not due to the conservativeness of the minimax framework, but is fundamentally caused by the difficulty of learning the bias accurately.
Recommendations
- Confidence sets in sparse regression
- Confidence intervals for low dimensional parameters in high dimensional linear models
- Exact adaptive confidence intervals for linear regression coefficients
- Confidence Intervals and Hypothesis Testing for High-Dimensional Regression
- Confidence sets based on thresholding estimators in high-dimensional Gaussian regression models
Cited in
(68)- Controlling False Discovery Rate Using Gaussian Mirrors
- Inference for high-dimensional linear expectile regression with de-biasing method
- Inference for heteroskedastic PCA with missing data
- Estimation and Inference for High-Dimensional Generalized Linear Models with Knowledge Transfer
- Online Debiasing for Adaptively Collected High-Dimensional Data With Applications to Time Series Analysis
- Model-Assisted Uniformly Honest Inference for Optimal Treatment Regimes in High Dimension
- LIC criterion for optimal subset selection in distributed interval estimation
- Transfer Learning with Large-Scale Quantile Regression
- Orthogonalized Kernel Debiased Machine Learning for Multimodal Data Analysis
- Estimation of Linear Functionals in High-Dimensional Linear Models: From Sparsity to Nonsparsity
- Test of Significance for High-Dimensional Thresholds with Application to Individualized Minimal Clinically Important Difference
- Statistical Inference for Maximin Effects: Identifying Stable Associations across Multiple Studies
- A bootstrap Lasso+partial ridge method to construct confidence intervals for parameters in high-dimensional sparse linear models
- Group inference in high dimensions with applications to hierarchical testing
- Confidence sets based on thresholding estimators in high-dimensional Gaussian regression models
- Thresholding tests based on affine Lasso to achieve non-asymptotic nominal level and high power under sparse and dense alternatives in high dimension
- Honest Confidence Sets for High-Dimensional Regression by Projection and Shrinkage
- Multicarving for high-dimensional post-selection inference
- IFAA: Robust Association Identification and Inference for Absolute Abundance in Microbiome Analyses
- Adaptive estimation of high-dimensional signal-to-noise ratios
- Robust post-selection inference of high-dimensional mean regression with heavy-tailed asymmetric or heteroskedastic errors
- Doubly debiased Lasso: high-dimensional inference under hidden confounding
- Confidence intervals for low dimensional parameters in high dimensional linear models
- Confidence Intervals for Maximin Effects in Inhomogeneous Large-Scale Data
- Double-estimation-friendly inference for high-dimensional misspecified models
- Exact adaptive confidence intervals for linear regression coefficients
- Confidence sets in sparse regression
- Comments on: ``High-dimensional simultaneous inference with the bootstrap
- On the asymptotic variance of the debiased Lasso
- Statistical inference via conditional Bayesian posteriors in high-dimensional linear regression
- Efficient estimation of linear functionals of principal components
- On lower bounds for the bias-variance trade-off
- Adaptive estimation of the sparsity in the Gaussian vector model
- Debiasing the Lasso: optimal sample size for Gaussian designs
- Confidence intervals for sparse penalized regression with random designs
- Predictor ranking and false discovery proportion control in high-dimensional regression
- Linear hypothesis testing in dense high-dimensional linear models
- Dynamic linear discriminant analysis in high dimensional space
- Testing endogeneity with high dimensional covariates
- Design of c-optimal experiments for high-dimensional linear models
- Optimal sparsity testing in linear regression model
- Fixed effects testing in high-dimensional linear mixed models
- Significance testing in non-sparse high-dimensional linear models
- A unified theory of confidence regions and testing for high-dimensional estimating equations
- Minimum-volume confidence sets for normal linear regression models
- Debiasing the debiased Lasso with bootstrap
- Scale calibration for high-dimensional robust regression
- Some perspectives on inference in high dimensions
- Integrative Factor Regression and Its Inference for Multimodal Data Analysis
- Testability of high-dimensional linear models with nonsparse structures
- High-dimensional inference for cluster-based graphical models
- Semiparametric efficiency bounds for high-dimensional models
- Accuracy assessment for high-dimensional linear regression
- Projection-based Inference for High-dimensional Linear Models
- Rate optimal estimation and confidence intervals for high-dimensional regression with missing covariates
- De-biasing the Lasso with degrees-of-freedom adjustment
- scientific article; zbMATH DE number 7626707 (Why is no real title available?)
- scientific article; zbMATH DE number 7626769 (Why is no real title available?)
- Inference and Estimation for Random Effects in High-Dimensional Linear Mixed Models
- Sparse Topic Modeling: Computational Efficiency, Near-Optimal Algorithms, and Statistical Inference
- Statistical Inference for High-Dimensional Generalized Linear Models With Binary Outcomes
- Debiasing convex regularized estimators and interval estimation in linear models
- Global and Simultaneous Hypothesis Testing for High-Dimensional Logistic Regression Models
- Confidence Intervals and Hypothesis Testing for High-Dimensional Regression
- Inference for High-Dimensional Linear Mixed-Effects Models: A Quasi-Likelihood Approach
- Empirical Bayes oracle uncertainty quantification for regression
- Variable selection via adaptive false negative control in linear regression
- Stochastic continuum-armed bandits with additive models: minimax regrets and adaptive algorithm
This page was built for publication: Confidence intervals for high-dimensional linear regression: minimax rates and adaptivity
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2012200)
