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arXiv · 1512.07619

Uniformly Valid Post-Regularization Confidence Regions for Many Functional Parameters in Z-Estimation Framework

Alexandre Belloni·Victor Chernozhukov·Denis Chetverikov·Ying Wei
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Abstract

In this paper we develop procedures to construct simultaneous confidence bands for $\tilde p$ potentially infinite-dimensional parameters after model selection for general moment condition models where $\tilde p$ is potentially much larger than the sample size of available data, $n$. This allows us to cover settings with functional response data where each of the $\tilde p$ parameters is a function. The procedure is based on the construction of score functions that satisfy certain orthogonality condition. The proposed simultaneous confidence bands rely on uniform central limit theorems for high-dimensional vectors (and not on Donsker arguments as we allow for $\tilde p \gg n$). To construct the bands, we employ a multiplier bootstrap procedure which is computationally efficient as it only involves resampling the estimated score functions (and does not require resolving the high-dimensional optimization problems). We formally apply the general theory to inference on regression coefficient process in the distribution regression model with a logistic link, where two implementations are analyzed in detail. Simulations and an application to real data are provided to help illustrate the applicability of the results.

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Alexandre Belloni, Victor Chernozhukov, Denis Chetverikov, Ying Wei. 2019-02-03. Uniformly Valid Post-Regularization Confidence Regions for Many Functional Parameters in Z-Estimation Framework. https://arxiv.org/abs/1512.07619

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