Doubly Debiased Lasso: High-Dimensional Inference under Hidden Confounding
From MaRDI portal
Publication:66138
DOI10.48550/ARXIV.2004.03758arXiv2004.03758MaRDI QIDQ66138FDOQ66138
Authors: Zijian Guo, Domagoj Ćevid, Peter Bühlmann 
Publication date: 8 April 2020
Abstract: Inferring causal relationships or related associations from observational data can be invalidated by the existence of hidden confounding. We focus on a high-dimensional linear regression setting, where the measured covariates are affected by hidden confounding and propose the {em Doubly Debiased Lasso} estimator for individual components of the regression coefficient vector. Our advocated method simultaneously corrects both the bias due to estimation of high-dimensional parameters as well as the bias caused by the hidden confounding. We establish its asymptotic normality and also prove that it is efficient in the Gauss-Markov sense. The validity of our methodology relies on a dense confounding assumption, i.e. that every confounding variable affects many covariates. The finite sample performance is illustrated with an extensive simulation study and a genomic application.
Cited In (1)
This page was built for publication: Doubly Debiased Lasso: High-Dimensional Inference under Hidden Confounding
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q66138)
