Finite- and Large- Sample Inference for Model and Coefficients in High-dimensional Linear Regression with Repro Samples
高维线性回归中模型与系数的有限样本及大样本推断:重抽样样本方法
In this paper, we present a novel and effective inference approach to conduct both finite- and large-sample inference for high-dimensional linear regression models. This approach is developed under the so-called repro samples framework, in which we conduct statistical inference by creating and studying the behavior of artificial samples that are obtained by mimicking the sampling mechanism of the data. We construct confidence sets for (a) the true model corresponding to the…