Online Debiasing for Adaptively Collected High-Dimensional Data With Applications to Time Series Analysis
自适应采集高维数据的在线去偏及时间序列应用
Adaptive collection of data is commonplace in applications throughout science and engineering. From the point of view of statistical inference, however, adaptive data collection induces memory and correlation in the samples, and poses significant challenge. We consider the high-dimensional linear regression, where the samples are collected adaptively, and the sample size n can be smaller than p, the number of covariates. In this setting, there are two distinct sources of…