The benefit of group sparsity in group inference with de-biased scaled group Lasso

DOI10.1214/16-EJS1120zbMATH Open1397.62261arXiv1412.4170OpenAlexW2963304125MaRDI QIDQ309547FDOQ309547

Ritwik Mitra, Cun-Hui Zhang

Publication date: 7 September 2016

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: We study confidence regions and approximate chi-squared tests for variable groups in high-dimensional linear regression. When the size of the group is small, low-dimensional projection estimators for individual coefficients can be directly used to construct efficient confidence regions and p-values for the group. However, the existing analyses of low-dimensional projection estimators do not directly carry through for chi-squared-based inference of a large group of variables without inflating the sample size by a factor of the group size. We propose to de-bias a scaled group Lasso for chi-squared-based statistical inference for potentially very large groups of variables. We prove that the proposed methods capture the benefit of group sparsity under proper conditions, for statistical inference of the noise level and variable groups, large and small. Such benefit is especially strong when the group size is large.

Full work available at URL: https://arxiv.org/abs/1412.4170

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zbMATH Keywords

asymptotic normalitybias correctiongroup Lassogroup inferencechi-squared distributionconfidence regionrelaxed projection

Mathematics Subject Classification ID

Nonparametric tolerance and confidence regions (62G15) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cited In (21)

• Statistical inference in sparse high-dimensional additive models
• The benefit of group sparsity
• Sparse Group Lasso: Optimal Sample Complexity, Convergence Rate, and Statistical Inference
• Generalized matrix decomposition regression: estimation and inference for two-way structured data
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Uses Software

• covTest

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