Sparsified Simultaneous Confidence Intervals for High-Dimensional Linear Models
高维线性模型的稀疏化同时置信区间
Statistical inference of the high-dimensional regression coefficients is challenging because the uncertainty introduced by the model selection procedure is hard to account for. A critical question remains unsettled; that is, is it possible and how to embed the inference of the model into the simultaneous inference of the coefficients? To this end, we propose a notion of simultaneous confidence intervals called the sparsified simultaneous confidence intervals. Our intervals…