High-dimensional linear regression inference via $\ell^2$ weak convergence
We prove weak convergence in a separable Hilbert space for estimators of high-dimensional regression coefficients, which yields asymptotic normality and enables direct use of standard asymptotic tools such as the continuous mapping theorem. The approach permits diverging sparsity with many small nonzero coefficients, while requiring that only finitely many have moderate magnitude. As applications, we develop a test for finitely many linear hypotheses and, via a Scheffé-type approach, simultaneous inference for infinitely many linear hypotheses, yielding both a global test and simultaneous confidence bands for the regression function. The limiting distributions are given by weighted sums of independent chi-squared variables, and plug-in critical values achieve asymptotically correct size.