On asymptotically optimal confidence regions and tests for high-dimensional models

DOI10.1214/14-AOS1221zbMATH Open1305.62259arXiv1303.0518OpenAlexW3099550161MaRDI QIDQ95759FDOQ95759

Ruben Dezeure, Sara van de Geer, Sara Van De Geer, Peter Bühlmann, Yaacov Ritov, Ya’Acov Ritov, Ruben Dezeure, Peter Bühlmann

Publication date: 1 June 2014

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

Abstract: We propose a general method for constructing confidence intervals and statistical tests for single or low-dimensional components of a large parameter vector in a high-dimensional model. It can be easily adjusted for multiplicity taking dependence among tests into account. For linear models, our method is essentially the same as in Zhang and Zhang [J. R. Stat. Soc. Ser. B Stat. Methodol. 76 (2014) 217-242]: we analyze its asymptotic properties and establish its asymptotic optimality in terms of semiparametric efficiency. Our method naturally extends to generalized linear models with convex loss functions. We develop the corresponding theory which includes a careful analysis for Gaussian, sub-Gaussian and bounded correlated designs.

Full work available at URL: https://arxiv.org/abs/1303.0518

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zbMATH Keywords

lassogeneralized linear modellinear modelcentral limit theoremmultiple testingsemiparametric efficiencysparsity

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Parametric tolerance and confidence regions (62F25) Ridge regression; shrinkage estimators (Lasso) (62J07) Generalized linear models (logistic models) (62J12)

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Uses Software

• glasso
• glmnet

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