Uncertainty Quantification Under Group Sparsity

DOI10.1093/BIOMET/ASX037MaRDI QIDQ6263312arXivFDO

Authors Qing Zhou, Seunghyun Min

Publication date 5 July 2015

Published in arXiv

Full work available at URL https://doi.org/10.1093/BIOMET/ASX037

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10)

arXiv classification

math.STstat.MEstat.TH

Abstract: Quantifying the uncertainty in penalized regression under group sparsity is an important open question. We establish, under a high-dimensional scaling, the asymptotic validity of a modified parametric bootstrap method for the group lasso, assuming a Gaussian error model and mild conditions on the design matrix and the true coefficients. Simulation of bootstrap samples provides simultaneous inferences on large groups of coefficients. Through extensive numerical comparisons, we demonstrate that our bootstrap method performs much better than popular competitors, highlighting its practical utility. The theoretical result is generalized to other block norm penalization and sub-Gaussian errors, which further broadens the potential applications.

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