储嘉诚, 唐炎林. 高维线性模型中的纠偏LASSO综述[J]. 应用概率统计, 2023, 39(3): 455-474. DOI: 10.3969/j.issn.1001-4268.2023.03.010
引用本文: 储嘉诚, 唐炎林. 高维线性模型中的纠偏LASSO综述[J]. 应用概率统计, 2023, 39(3): 455-474. DOI: 10.3969/j.issn.1001-4268.2023.03.010
CHU Jiacheng, TANG Yanlin. Overview of Debiased LASSO in High-Dimensional Linear Model[J]. Chinese Journal of Applied Probability and Statistics, 2023, 39(3): 455-474. DOI: 10.3969/j.issn.1001-4268.2023.03.010
Citation: CHU Jiacheng, TANG Yanlin. Overview of Debiased LASSO in High-Dimensional Linear Model[J]. Chinese Journal of Applied Probability and Statistics, 2023, 39(3): 455-474. DOI: 10.3969/j.issn.1001-4268.2023.03.010

高维线性模型中的纠偏LASSO综述

Overview of Debiased LASSO in High-Dimensional Linear Model

  • 摘要: 我们对高维线性模型统计推断近年来发展的一些结果进行了综述. 我们介绍了三种主要的纠偏LASSO估计的思想与方法,这些纠偏LASSO估计具有渐近正态性, 因此可以对低维系数进行统计推断. 此外,我们也对基于纠偏LASSO进行bootstrap抽样的同时推断方法做了简单介绍.

     

    Abstract: We review some results on the recent development of statistical inference for high-dimensional linear models. We introduce three debiased LASSO estimators, which are asymptotically normal and thus we can construct statistical inference for low dimensional parameters in high-dimensional setting. In addition, we give a brief introduction to the bootstrap assistant procedures to conduct simultaneous inference based on the debiased LASSO.

     

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