论文标题

高维模型的二方面同时推断

Two-directional simultaneous inference for high-dimensional models

论文作者

Liu, Wei, Lin, Huazhen, Liu, Jin, Zheng, Shurong

论文摘要

本文提出了一个一般的两个定向同时推理(TOSI)框架,该框架对于具有明显变量或潜在变量结构的高维模型,例如高维平均模型,高维稀疏回归模型和高维潜在因子模型。 TOSI从两个方向上对一组参数执行同时推断,一个测试假定的零参数是否确实是零是零,并且一个可以测试在nonzeros的参数集中是否存在零。结果,我们可以准确地确定参数是否为零,从而使数据结构保持充分和简单地表达。从理论上讲,我们证明所提出的TOSI方法渐近地控制了预先指定的显着性水平的I型误差,并且测试能力会收敛到一个。进行仿真以检查有限样本情况下提出的方法的性能,并分析了两个实际数据集。结果表明,与现有方法相比,TOSI方法具有更大的预测性,并且具有更容易解释的估计器。

This paper proposes a general two directional simultaneous inference (TOSI) framework for high-dimensional models with a manifest variable or latent variable structure, for example, high-dimensional mean models, high-dimensional sparse regression models, and high-dimensional latent factors models. TOSI performs simultaneous inference on a set of parameters from two directions, one to test whether the assumed zero parameters indeed are zeros and one to test whether exist zeros in the parameter set of nonzeros. As a result, we can exactly identify whether the parameters are zeros, thereby keeping the data structure fully and parsimoniously expressed. We theoretically prove that the proposed TOSI method asymptotically controls the Type I error at the prespecified significance level and that the testing power converges to one. Simulations are conducted to examine the performance of the proposed method in finite sample situations and two real datasets are analyzed. The results show that the TOSI method is more predictive and has more interpretable estimators than existing methods.

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