A statistical mechanics approach to de-biasing and uncertainty estimation in Lasso for random measurements
From MaRDI portal
Publication:3303301
Abstract: In high-dimensional statistical inference in which the number of parameters to be estimated is larger than that of the holding data, regularized linear estimation techniques are widely used. These techniques have, however, some drawbacks. First, estimators are biased in the sense that their absolute values are shrunk toward zero because of the regularization effect. Second, their statistical properties are difficult to characterize as they are given as numerical solutions to certain optimization problems. In this manuscript, we tackle such problems concerning LASSO, which is a widely used method for sparse linear estimation, when the measurement matrix is regarded as a sample from a rotationally invariant ensemble. We develop a new computationally feasible scheme to construct a de-biased estimator with a confidence interval and conduct hypothesis testing for the null hypothesis that a certain parameter vanishes. It is numerically confirmed that the proposed method successfully de-biases the LASSO estimator and constructs confidence intervals and p-values by experiments for noisy linear measurements.
Recommendations
- Debiasing the Lasso: optimal sample size for Gaussian designs
- Debiasing the debiased Lasso with bootstrap
- Confidence Intervals and Hypothesis Testing for High-Dimensional Regression
- On the asymptotic variance of the debiased Lasso
- Posterior asymptotic normality for an individual coordinate in high-dimensional linear regression
Cites work
- scientific article; zbMATH DE number 1273988 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- Addition of certain non-commuting random variables
- Advanced mean field methods. Theory and practice
- Analysis of Regularized LS Reconstruction and Random Matrix Ensembles in Compressed Sensing
- Compressed sensing
- Confidence Intervals and Hypothesis Testing for High-Dimensional Regression
- Confidence intervals for low dimensional parameters in high dimensional linear models
- Cross validation in Lasso and its acceleration
- DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
- Decoding by Linear Programming
- Expectation consistent approximate inference
- Inference for Generalized Linear Models via Alternating Directions and Bethe Free Energy Minimization
- Least angle regression. (With discussion)
- Near-Optimal Signal Recovery From Random Projections: Universal Encoding Strategies?
- On asymptotically optimal confidence regions and tests for high-dimensional models
- Randomly Spread CDMA: Asymptotics Via Statistical Physics
- Regularization and Variable Selection Via the Elastic Net
- Regularized multivariate regression for identifying master predictors with application to integrative genomics study of breast cancer
- Replica field theory for deterministic models. II. A non-random spin glass with glassy behaviour
- Simultaneous analysis of Lasso and Dantzig selector
- Statistics for high-dimensional data. Methods, theory and applications.
Cited in
(6)- The Lasso with general Gaussian designs with applications to hypothesis testing
- The distribution of the Lasso: uniform control over sparse balls and adaptive parameter tuning
- Debiasing the Lasso: optimal sample size for Gaussian designs
- Measurement error in Lasso: impact and likelihood bias correction
- Debiasing the debiased Lasso with bootstrap
- Semi-analytic resampling in Lasso
This page was built for publication: A statistical mechanics approach to de-biasing and uncertainty estimation in Lasso for random measurements
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3303301)
