High-dimensional Gaussian copula regression: adaptive estimation and statistical inference

DOI10.5705/SS.202016.0041MaRDI QIDQ4639587zbMATH OpenOpenAlexFDO

Authors Linjun Zhang, T. Tony Cai

Publication date 9 May 2018

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1512.02487

zbMATH Keywords

confidence intervalhypothesis testingKendall's taulinear regressionde-biased estimatoradaptive estimationoptimal rate of convergenceGaussian copula regression

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Applications of statistics to social sciences (62P25)

Abstract: We develop adaptive estimation and inference methods for high-dimensional Gaussian copula regression that achieve the same performance without the knowledge of the marginal transformations as that for high-dimensional linear regression. Using a Kendall's tau based covariance matrix estimator, an $el{l}_1$ regularized estimator is proposed and a corresponding de-biased estimator is developed for the construction of the confidence intervals and hypothesis tests. Theoretical properties of the procedures are studied and the proposed estimation and inference methods are shown to be adaptive to the unknown monotone marginal transformations. Prediction of the response for a given value of the covariates is also considered. The procedures are easy to implement and perform well numerically. The methods are also applied to analyze the Communities and Crime Unnormalized Data from the UCI Machine Learning Repository.

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Cited in

(16)

• On the uniform-in-bandwidth consistency of the general conditional \(U\)-statistics based on the copula representation
• Variable selection for high dimensional Gaussian copula regression model: an adaptive hypothesis testing procedure
• Solving Estimating Equations With Copulas
• Detection of block-exchangeable structure in large-scale correlation matrices
• Inference for semiparametric Gaussian copula model adjusted for linear regression using residual ranks
• Coordinatewise Gaussianization: Theories and Applications
• Robust feature screening for elliptical copula regression model
• Inference for elliptical copula multivariate response regression models
• STATISTICAL INFERENCE FOR COPULAS IN HIGH DIMENSIONS: A SIMULATION STUDY
• Discriminant analysis on high dimensional Gaussian copula model
• Gaussian copula function-on-scalar regression in reproducing kernel Hilbert space
• Efficient and feasible inference for high-dimensional normal copula regression models
• High dimensional Gaussian copula graphical model with FDR control
• ROS regression: integrating regularization with optimal scaling regression
• Robust feature screening for multi-response trans-elliptical regression model with ultrahigh-dimensional covariates
• A convex optimization approach to high-dimensional sparse quadratic discriminant analysis

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Uses Software

• UCI

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