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2017 Estimator augmentation with applications in high-dimensional group inference
Qing Zhou, Seunghyun Min
Electron. J. Statist. 11(2): 3039-3080 (2017). DOI: 10.1214/17-EJS1309

Abstract

To make statistical inference about a group of parameters on high-dimensional data, we develop the method of estimator augmentation for the block lasso, which is defined via block norm regularization. By augmenting a block lasso estimator $\hat{\beta }$ with the subgradient $S$ of the block norm evaluated at $\hat{\beta }$, we derive a closed-form density for the joint distribution of $(\hat{\beta },S)$ under a high-dimensional setting. This allows us to draw from an estimated sampling distribution of $\hat{\beta }$, or more generally any function of $(\hat{\beta },S)$, by Monte Carlo algorithms. We demonstrate the application of estimator augmentation in group inference with the group lasso and a de-biased group lasso constructed as a function of $(\hat{\beta },S)$. Our numerical results show that importance sampling via estimator augmentation can be orders of magnitude more efficient than parametric bootstrap in estimating tail probabilities for significance tests. This work also brings new insights into the geometry of the sample space and the solution uniqueness of the block lasso. To broaden its application, we generalize our method to a scaled block lasso, which estimates the error variance simultaneously.

Citation

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Qing Zhou. Seunghyun Min. "Estimator augmentation with applications in high-dimensional group inference." Electron. J. Statist. 11 (2) 3039 - 3080, 2017. https://doi.org/10.1214/17-EJS1309

Information

Received: 1 December 2016; Published: 2017
First available in Project Euclid: 14 August 2017

zbMATH: 1373.62374
MathSciNet: MR3694576
Digital Object Identifier: 10.1214/17-EJS1309

Subjects:
Primary: 62F40, 62J07
Secondary: 65C05

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Vol.11 • No. 2 • 2017
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