A unified spectral analysis of high-dimensional linear regression: debiasing and thresholding
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We use spectral analysis to establish a unified theory of debiasing, thresholding, and simultaneous inference for high-dimensional linear regression with ill-conditioned designs. The methods include Ridge regression, spectral cut-off, and iterative and dynamical regression procedures. A common debiasing procedure uses two applications of the original linear algorithm with fixed parameters. Spectral analysis shows that debiasing squares the residual, while implementations based on matrix-vector products require no explicit spectral decomposition. Under explicit design, signal, and moment conditions, we establish maximum-norm consistency, recovery of the population threshold set, and error bounds for coefficient and noise-variance estimation. We derive Gaussian approximations for maximum coordinate errors and, under full column rank and deterministic sequences of regression parameters and thresholds, prove bootstrap validity for simultaneous confidence regions. Under additional regularity and gain conditions, we relate noise-free bias rates to best-worst-case error rates. Sparse and non-sparse regression experiments examine the effects of debiasing and thresholding under specified tuning rules. An elliptic inverse source problem extends the numerical assessment to reconstruction and empirical simultaneous coverage.
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