High-dimensional simultaneous inference with the bootstrap

We propose a residual and wild bootstrap methodology for individual and simultaneous inference in high-dimensional linear models with possibly non-Gaussian and heteroscedastic errors. We establish asymptotic consistency for simultaneous inference for parameters in groups G , where p ≫ n , s 0 = o (...

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Veröffentlicht in:	Test (Madrid, Spain) Spain), 2017-12, Vol.26 (4), p.685-719
Hauptverfasser:	Dezeure, Ruben, Bühlmann, Peter, Zhang, Cun-Hui
Format:	Artikel
Sprache:	eng
Schlagworte:	Asymptotic methods Bootstrap method Economics Finance Inference Insurance Invited Paper Management Mathematics and Statistics Regression analysis Statistical Theory and Methods Statistics Statistics for Business
Online-Zugang:	Volltext
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