Confidence Bands for Coefficients in High Dimensional Linear Models with Error-in-variables
含测量误差的高维线性模型系数置信带
We study high-dimensional linear models with error-in-variables. Such models are motivated by various applications in econometrics, finance and genetics. These models are challenging because of the need to account for measurement errors to avoid non-vanishing biases in addition to handle the high dimensionality of the parameters. A recent growing literature has proposed various estimators that achieve good rates of convergence. Our main contribution complements this…