Uniform post-selection inference for least absolute deviation regression and other Z-estimation problems
最小绝对偏差回归及其他 Z 估计问题的一致有效选择后推断
We develop uniformly valid confidence regions for regression coefficients in a high-dimensional sparse median regression model with homoscedastic errors. Our methods are based on a moment equation that is immunized against nonregular estimation of the nuisance part of the median regression function by using Neyman’s orthogonalization. We establish that the resulting instrumental median regression estimator of a target regression coefficient is asymptotically normally…