LAUSR

Group inference has been a long-standing question in statistics and the development of high-dimensional group inference is an essential part of statistical methods for analyzing complex data sets, including hierarchical testing, tests of interaction, detection of heterogeneous treatment effects and local heritability. Group inference in regression models can be measured with respect to a weighted quadratic functional of the regression sub-vector corresponding to the group. Asymptotically unbiased estimators of these weighted quadratic functionals are constructed and a procedure using these estimator for inference is proposed. We derive its asymptotic Gaussian distribution which allows to construct asymptotically valid confidence intervals and tests which perform well in terms of length or power. The results simultaneously address four challenges encountered in the literature: controlling coverage or type I error even when the variables inside the group are highly correlated, achieving a good power when there are many small coefficients inside the group, computational efficiency even for a large group, and no requirements on the group size. We apply the methodology to several interesting statistical problems and demonstrate its strength and usefulness on simulated and real data.