In Defense of the Indefensible: A Very Naïve Approach to High-Dimensional Inference

A great deal of interest has recently focused on conducting inference on the parameters in a high-dimensional linear model. In this paper, we consider a simple and very naïve two-step procedure for this task, in which we (i) fit a lasso model in order to obtain a subset of the variables, and (ii) fi...

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Bibliographic Details
Published in:Statistical science 2021-11, Vol.36 (4), p.562-577
Main Authors: Zhao, Sen, Witten, Daniela, Shojaie, Ali
Format: Article
Language:English
Subjects:
Confidence intervals
Least squares
Maximum likelihood method
Probability
Regression analysis
Regression coefficients
Regression models
Statistical analysis
Statistical inference
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