Honest Confidence Sets for High-Dimensional Regression by Projection and Shrinkage*
Sign Up to like & getrecommendations! Published in 2021 at "Journal of the American Statistical Association"
DOI: 10.1080/01621459.2021.1938581
Abstract: The issue of honesty in constructing confidence sets arises in nonparametric regression. While optimal rate in nonparametric estimation can be achieved and utilized to construct sharp confidence sets, severe degradation of confidence level often happens… read more here.
Keywords: high dimensional; confidence sets; confidence; dimensional regression ... See more keywords