DOUBLY DEBIASED LASSO: HIGH-DIMENSIONAL INFERENCE UNDER HIDDEN CONFOUNDING.
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ABSTRACT:
SUBMITTER: Guo Z
PROVIDER: S-EPMC9365063 | biostudies-literature | 2022 Jun
REPOSITORIES: biostudies-literature
Publications
DOUBLY DEBIASED LASSO: HIGH-DIMENSIONAL INFERENCE UNDER HIDDEN CONFOUNDING.
Guo Zijian Z Ćevid Domagoj D Bühlmann Peter P
Annals of statistics 20220616 3
Inferring causal relationships or related associations from observational data can be invalidated by the existence of hidden confounding. We focus on a high-dimensional linear regression setting, where the measured covariates are affected by hidden confounding and propose the <i>Doubly Debiased Lasso</i> estimator for individual components of the regression coefficient vector. Our advocated method simultaneously corrects both the bias due to estimation of high-dimensional parameters as well as t ...[more]
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