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Comments on: High-dimensional simultaneous inference with the bootstrap

Accepted version
Peer-reviewed

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Authors

Lockhart, RA 
Samworth, RJ 

Abstract

We congratulate the authors on their stimulating contribution to the burgeoning high-dimensional inference literature. The bootstrap offers such an attractive methodology in these settings, but it is well-known that its naive application in the context of shrinkage/superefficiency is fraught with danger (e.g. Samworth, 2003; Chatterjee and Lahiri, 2011). The authors show how these perils can be elegantly sidestepped by working with de-biased, or de-sparsified, versions of estimators.

Description

Keywords

Confidence intervals, De-biased estimator, High-dimensional inference

Journal Title

Test

Conference Name

Journal ISSN

1133-0686
1863-8260

Volume Title

26

Publisher

Sociedad de Estadistica e Investigacion Operativa
Sponsorship
Engineering and Physical Sciences Research Council (EP/J017213/1)
Leverhulme Trust (PLP-2014-353)
EPSRC (EP/J017213/1), Leverhulme Trust (PLP-2014-353)