Stability of a Generalized Debiased Lasso with Applications to Resampling-Based Variable Selection
广义去偏 Lasso 的稳定性及其在重抽样变量选择中的应用
We propose a generalized debiased Lasso estimator based on a stability principle. When a single column of the design matrix is perturbed, the estimator admits a simple update formula that can be computed from the original solution. Under sub-Gaussian designs with well-conditioned covariance, this approximation is asymptotically accurate for all but a vanishing fraction of coordinates in the proportional growth regime. The proof relies on concentration and anti-concentration…