Method-of-Moments Inference for GLMs and Doubly Robust Functionals under Proportional Asymptotics
比例渐近下广义线性模型与双重稳健泛函的矩估计推断
In this paper, we consider the estimation of regression coefficients and signal-to-noise (SNR) ratio in high-dimensional Generalized Linear Models (GLMs), and explore their implications in inferring popular estimands such as average treatment effects in high-dimensional observational studies. Under the ``proportional asymptotic'' regime and Gaussian covariates with known (population) covariance $Σ$, we derive Consistent and Asymptotically Normal (CAN) estimators of our…