Inference in high dimensional linear measurement error models
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Publication:2034474
DOI10.1016/J.JMVA.2021.104759zbMATH Open1472.62112arXiv2001.10142OpenAlexW3152749304MaRDI QIDQ2034474FDOQ2034474
Mengyan Li, Yanyuan Ma, Runze Li
Publication date: 22 June 2021
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/2001.10142
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Linear regression; mixed models (62J05) Applications of statistics to biology and medical sciences; meta analysis (62P10) Asymptotic properties of parametric tests (62F05)
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Cited In (8)
- 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
- Low-rank matrix estimation via nonconvex optimization methods in multi-response errors-in-variables regression
- Inference for high dimensional linear models with error-in-variables
- Independence tests in the presence of measurement errors: an invariance law
- High-dimensional inference in misspecified linear models
- Optimal Poisson subsampling decorrelated score for high-dimensional generalized linear models
- Inference in Error Orthogonal Models
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