High-dimensional inference in misspecified linear models
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Publication:491406
DOI10.1214/15-EJS1041zbMATH Open1327.62420arXiv1503.06426OpenAlexW1531316514MaRDI QIDQ491406FDOQ491406
Authors: Sara Van De Geer, Peter Bühlmann 
Publication date: 25 August 2015
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Abstract: We consider high-dimensional inference when the assumed linear model is misspecified. We describe some correct interpretations and corresponding sufficient assumptions for valid asymptotic inference of the model parameters, which still have a useful meaning when the model is misspecified. We largely focus on the de-sparsified Lasso procedure but we also indicate some implications for (multiple) sample splitting techniques. In view of available methods and software, our results contribute to robustness considerations with respect to model misspecification.
Full work available at URL: https://arxiv.org/abs/1503.06426
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Parametric tolerance and confidence regions (62F25) Ridge regression; shrinkage estimators (Lasso) (62J07)
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Cited In (31)
- High-dimensional inference: confidence intervals, \(p\)-values and R-software \texttt{hdi}
- Hierarchical inference for genome-wide association studies: a view on methodology with software
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