Generalized fiducial inference for ultrahigh-dimensional regression

DOI10.1080/01621459.2014.931237zbMATH Open1373.62111arXiv1304.7847OpenAlexW2078194248MaRDI QIDQ5367399FDOQ5367399

Authors: Randy C. S. Lai, Thomas C. M. Lee, Jan Hannig 

Publication date: 13 October 2017

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Abstract: In recent years the ultrahigh dimensional linear regression problem has attracted enormous attentions from the research community. Under the sparsity assumption most of the published work is devoted to the selection and estimation of the significant predictor variables. This paper studies a different but fundamentally important aspect of this problem: uncertainty quantification for parameter estimates and model choices. To be more specific, this paper proposes methods for deriving a probability density function on the set of all possible models, and also for constructing confidence intervals for the corresponding parameters. These proposed methods are developed using the generalized fiducial methodology, which is a variant of Fisher's controversial fiducial idea. Theoretical properties of the proposed methods are studied, and in particular it is shown that statistical inference based on the proposed methods will have exact asymptotic frequentist property. In terms of empirical performances, the proposed methods are tested by simulation experiments and an application to a real data set. Lastly this work can also be seen as an interesting and successful application of Fisher's fiducial idea to an important and contemporary problem. To the best of the authors' knowledge, this is the first time that the fiducial idea is being applied to a so-called "large p small n" problem.

Full work available at URL: https://arxiv.org/abs/1304.7847

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• scientific article; zbMATH DE number 5586074

zbMATH Keywords

confidence intervalsuncertainty quantificationlarge \(p\) small \(n\)minimum description length principlevariability estimation

Mathematics Subject Classification ID

Point estimation (62F10) Linear regression; mixed models (62J05) Parametric tolerance and confidence regions (62F25)

Cited In (16)

• Sparsity oriented importance learning for high-dimensional linear regression
• Simultaneous confidence intervals for mean differences of multiple zero-inflated gamma distributions with applications to precipitation
• Consistency of BIC model averaging
• Discussion of “A Gibbs Sampler for a Class of Random Convex Polytopes”
• Generalized fiducial methods for testing quantitative trait locus effects in genetic backcross studies
• Generalized fiducial inference for wavelet regression
• Generalized fiducial inference for threshold estimation in dose-response and regression settings
• Covariance estimation via fiducial inference
• Uncertainty Quantification for High-Dimensional Sparse Nonparametric Additive Models
• Uncertainty quantification for principal component regression
• False confidence, non-additive beliefs, and valid statistical inference
• Uncertainty quantification for honest regression trees
• Generalized fiducial methods for testing the homogeneity of a three-sample problem with a mixture structure
• Performance Assessment of High-dimensional Variable Identification
• Nonpenalized variable selection in high-dimensional linear model settings via generalized fiducial inference
• High-Dimensional Multi-Task Learning using Multivariate Regression and Generalized Fiducial Inference

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