Uniformly valid confidence sets based on the Lasso
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Abstract: In a linear regression model of fixed dimension , we construct confidence regions for the unknown parameter vector based on the Lasso estimator that uniformly and exactly hold the prescribed in finite samples as well as in an asymptotic setup. We thereby quantify estimation uncertainty as well as the "post-model selection error" of this estimator. More concretely, in finite samples with Gaussian errors and asymptotically in the case where the Lasso estimator is tuned to perform conservative model selection, we derive exact formulas for computing the minimal coverage probability over the entire parameter space for a large class of shapes for the confidence sets, thus enabling the construction of valid confidence regions based on the Lasso estimator in these settings. The choice of shape for the confidence sets and comparison with the confidence ellipse based on the least-squares estimator is also discussed. Moreover, in the case where the Lasso estimator is tuned to enable consistent model selection, we give a simple confidence region with minimal coverage probability converging to one. Finally, we also treat the case of unknown error variance and present some ideas for extensions.
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- scientific article; zbMATH DE number 850142
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Cited in
(15)- On the distribution, model selection properties and uniqueness of the Lasso estimator in low and high dimensions
- A reweighted symmetric smoothed function approximating L₀-norm regularized sparse reconstruction method
- \(\chi^{2}\)-confidence sets in high-dimensional regression
- scientific article; zbMATH DE number 850142 (Why is no real title available?)
- On the length of post-model-selection confidence intervals conditional on polyhedral constraints
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