A likelihood ratio framework for high-dimensional semiparametric regression

DOI10.1214/16-AOS1483zbMATH Open1390.62066arXiv1412.2295MaRDI QIDQ682282FDOQ682282

Authors: Yang Ning, Tianqi Zhao, Han Liu 

Publication date: 14 February 2018

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: We propose a likelihood ratio based inferential framework for high dimensional semiparametric generalized linear models. This framework addresses a variety of challenging problems in high dimensional data analysis, including incomplete data, selection bias, and heterogeneous multitask learning. Our work has three main contributions. (i) We develop a regularized statistical chromatography approach to infer the parameter of interest under the proposed semiparametric generalized linear model without the need of estimating the unknown base measure function. (ii) We propose a new framework to construct post-regularization confidence regions and tests for the low dimensional components of high dimensional parameters. Unlike existing post-regularization inferential methods, our approach is based on a novel directional likelihood. In particular, the framework naturally handles generic regularized estimators with nonconvex penalty functions and it can be used to infer least false parameters under misspecified models. (iii) We develop new concentration inequalities and normal approximation results for U-statistics with unbounded kernels, which are of independent interest. We demonstrate the consequences of the general theory by using an example of missing data problem. Extensive simulation studies and real data analysis are provided to illustrate our proposed approach.

Full work available at URL: https://arxiv.org/abs/1412.2295

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zbMATH Keywords

generalized linear modelasymptotic distributionconfidence regionslikelihood ratio test

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20) Nonparametric tolerance and confidence regions (62G15)

Cited In (6)

• A unified theory of confidence regions and testing for high-dimensional estimating equations
• Targeted Inference Involving High-Dimensional Data Using Nuisance Penalized Regression
• High-dimensional inference for cluster-based graphical models
• On semiparametric exponential family graphical models
• Very high dimensional semiparametric models. Abstracts from the workshop held October 2--8, 2011.
• A proportional likelihood ratio model

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