Rate optimal estimation and confidence intervals for high-dimensional regression with missing covariates.
Yining WangJialei WangSivaraman BalakrishnanAarti SinghPublished in: J. Multivar. Anal. (2019)
Keyphrases
- confidence intervals
- high dimensional
- sample size
- regression model
- stochastic systems
- estimation error
- sufficiently small
- model selection
- dynamic programming
- low dimensional
- test set
- support vector
- limit theorems
- chi square
- monte carlo
- markov chain
- worst case
- stopping rules
- logistic regression
- asymptotically optimal
- linear regression
- data sets
- high dimensional data
- optimal solution