On High-Dimensional Constrained Maximum Likelihood Inference.

ABSTRACT: Inference in a high-dimensional situation may involve regularization of a certain form to treat overparameterization, imposing challenges to inference. The common practice of inference uses either a regularized model, as in inference after model selection, or bias-reduction known as "debias." While the first ignores statistical uncertainty inherent in regularization, the second reduces the bias inbred in regularization at the expense of increased variance. In this article, we propose a constrained maximum likelihood method for hypothesis testing involving unspecific nuisance parameters, with a focus of alleviating the impact of regularization on inference. Particularly, for general composite hypotheses, we unregularize hypothesized parameters whereas regularizing nuisance parameters throug

SUBMITTER: Zhu Y 

PROVIDER: S-EPMC7418862 | biostudies-literature | 2020

REPOSITORIES: biostudies-literature