Debiased Inference for High-Dimensional Regression Models Based on Profile M-Estimation
基于轮廓 M 估计的高维回归去偏推断
Debiased inference for high-dimensional regression models has received substantial recent attention to ensure regularized estimators have valid inference. Many existing methods focus on achieving Neyman orthogonality through explicitly constructing projections onto the space of nuisance parameters, which is infeasible when an explicit form of the projection is unavailable. We introduce a general debiasing framework, Debiased Profile $M$-Estimation (DPME), which applies to a…