The Annals of Statistics

Bootstrapping and sample splitting for high-dimensional, assumption-lean inference

Alessandro Rinaldo, Larry Wasserman, and Max G’Sell

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Abstract

Several new methods have been recently proposed for performing valid inference after model selection. An older method is sample splitting: use part of the data for model selection and the rest for inference. In this paper, we revisit sample splitting combined with the bootstrap (or the Normal approximation). We show that this leads to a simple, assumption-lean approach to inference and we establish results on the accuracy of the method. In fact, we find new bounds on the accuracy of the bootstrap and the Normal approximation for general nonlinear parameters with increasing dimension which we then use to assess the accuracy of regression inference. We define new parameters that measure variable importance and that can be inferred with greater accuracy than the usual regression coefficients. Finally, we elucidate an inference-prediction trade-off: splitting increases the accuracy and robustness of inference but can decrease the accuracy of the predictions.

Article information

Source
Ann. Statist., Volume 47, Number 6 (2019), 3438-3469.

Dates
Received: April 2018
Revised: November 2018
First available in Project Euclid: 31 October 2019

Permanent link to this document
https://projecteuclid.org/euclid.aos/1572487399

Digital Object Identifier
doi:10.1214/18-AOS1784

Mathematical Reviews number (MathSciNet)
MR4025748

Subjects
Primary: 62F40: Bootstrap, jackknife and other resampling methods 62F35: Robustness and adaptive procedures
Secondary: 62J05: Linear regression 62G09: Resampling methods 62G20: Asymptotic properties

Keywords
Sample splitting bootstrap regression assumption-lean

Citation

Rinaldo, Alessandro; Wasserman, Larry; G’Sell, Max. Bootstrapping and sample splitting for high-dimensional, assumption-lean inference. Ann. Statist. 47 (2019), no. 6, 3438--3469. doi:10.1214/18-AOS1784. https://projecteuclid.org/euclid.aos/1572487399


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Supplemental materials

  • Supplement to “Bootstrapping and sample splitting for high-dimensional, assumption-lean inference”. This supplement provides additional material, including numerical examples, comments on other approaches, an alternative bootstrap approach, and algorithmic statements of the studied procedures. The supplement also includes proofs of many of the results stated in this paper.