Statistics Series- Cun-hui Zhang
TITLE: Simultaneous Bootstrap Inference with High-Dimensional Data
ABSTRACT: We propose bootstrap methodologies for simultaneous inference of low-dimensional parameters with high dimensional data. We focus on simultaneous conﬁdence intervals for individual coeﬃcients in linear regression, although our approach is applicable in much broader contexts. The problem can be solved by de-biasing regularized estimators such as the Lasso. However, the Bonferroni adjustment is overly conservative and asymptotic theory is complicated, especially for non-Gaussian and heteroscedastic errors. We propose residual, wild and empirical bootstrap methodologies for more accurate and robust simultaneous inference and study sample size requirements and other properties of such procedures. Our theory is complemented by many empirical results.
- Workflow Status: Published
- Created By: nhendricks6
- Created: 09/15/2017
- Modified By: nhendricks6
- Modified: 09/15/2017