Weak signal identification and inference in penalized model selection

DOI10.1214/16-AOS1482MaRDI QIDQ2012934zbMATH OpenOpenAlexFDO

Authors Peibei Shi, Annie Qu

Publication date 3 August 2017

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

Full work available at URL https://arxiv.org/abs/1611.04638, https://projecteuclid.org/euclid.aos/1497319693

zbMATH Keywords

adaptive Lassofinite sample inferencemodel selectionweak signal

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Parametric inference under constraints (62F30) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Abstract: Weak signal identification and inference are very important in the area of penalized model selection, yet they are under-developed and not well-studied. Existing inference procedures for penalized estimators are mainly focused on strong signals. In this paper, we propose an identification procedure for weak signals in finite samples, and pro- vide a transition phase in-between noise and strong signal strengths. We also introduce a new two-step inferential method to construct better confidence intervals for the identified weak signals. Our theory development assumes that variables are orthogonally designed. Both theory and numerical studies indicate that the proposed method leads to better confidence coverage for weak signals, compared with those using asymptotic inference. In addition, the proposed method out- performs the perturbation and bootstrap resampling approaches. We illustrate our method for HIV antiretroviral drug susceptibility data to identify genetic mutations associated with HIV drug resistance.

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• Weak Signal Identification and Inference in Penalized Likelihood Models for Categorical Responses
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• Sparsified simultaneous confidence intervals for high-dimensional linear models
• The oracle property of the generalized outcome-adaptive lasso

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