Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso
In this paper we consider the conservative Lasso which we argue penalizes more correctly than the Lasso and show how it may be desparsified in the sense of van de Geer et al. (2014) in order to construct asymptotically honest (uniform) confidence bands. In particular, we develop an oracle inequality...
Main Authors: | , |
---|---|
Format: | Journal article |
Published: |
Elsevier
2017
|