Uniformly valid post-regularization confidence regions for many functional parameters in z-estimation framework
Z 估计框架下多函数参数的正则化后一致有效置信区域
In this paper, we develop procedures to construct simultaneous confidence bands for ${\tilde{p}}$ potentially infinite-dimensional parameters after model selection for general moment condition models where ${\tilde{p}}$ is potentially much larger than the sample size of available data, $n$. This allows us to cover settings with functional response data where each of the ${\tilde{p}}$ parameters is a function. The procedure is based on the construction of score functions that…