Inference in high dimensional linear measurement error models
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Publication:2034474
Abstract: For a high-dimensional linear model with a finite number of covariates measured with error, we study statistical inference on the parameters associated with the error-prone covariates, and propose a new corrected decorrelated score test and the corresponding one-step estimator. We further establish asymptotic properties of the newly proposed test statistic and the one-step estimator. Under local alternatives, we show that the limiting distribution of our corrected decorrelated score test statistic is non-central normal. The finite-sample performance of the proposed inference procedure is examined through simulation studies. We further illustrate the proposed procedure via an empirical analysis of a real data example.
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Cited in
(11)- Optimal decorrelated score subsampling for generalized linear models with massive data
- On high-dimensional Poisson models with measurement error: hypothesis testing for nonlinear nonconvex optimization
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