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This paper provides the relevant literature with a complete toolkit for conducting robust estimation and inference about the parameters of interest involved in a high-dimensional panel data framework. Specifically, (1) we allow for…

In this paper, we present a novel and effective inference approach to conduct both finite- and large-sample inference for high-dimensional linear regression models. This approach is developed under the so-called repro samples framework, in…

A growing number of empirical models exhibit set-valued predictions. This paper develops a tractable inference method with finite-sample validity for such models. The proposed procedure uses a robust version of the universal inference…

We consider inference for high-dimensional separately and jointly exchangeable arrays where the dimensions may be much larger than the sample sizes. For both exchangeable arrays, we first derive high-dimensional central limit theorems over…

We consider the problem of constructing honest and adaptive confidence sets in Lp-loss (with p>=1 and p < infinity) over sets of Sobolev-type classes, in the setting of non-parametric Gaussian regression. The objective is to adapt the…

In this paper we offer a unified approach to the problem of nonparametric regression on the unit interval. It is based on a universal, honest and non-asymptotic confidence region which is defined by a set of linear inequalities involving…

Due to their accuracies, methods based on ensembles of regression trees are a popular approach for making predictions. Some common examples include Bayesian additive regression trees, boosting and random forests. This paper focuses on…

In recent years the ultrahigh dimensional linear regression problem has attracted enormous attentions from the research community. Under the sparsity assumption most of the published work is devoted to the selection and estimation of the…

Confidence intervals and joint confidence sets are constructed for the nonparametric calibration of exponential L\'evy models based on prices of European options. To this end, we show joint asymptotic normality in the spectral calibration…

In a linear regression model of fixed dimension $p \leq n$, we construct confidence regions for the unknown parameter vector based on the Lasso estimator that uniformly and exactly hold the prescribed in finite samples as well as in an…

This paper develops a method to construct uniform confidence bands for a nonparametric regression function where a predictor variable is subject to a measurement error. We allow for the distribution of the measurement error to be unknown,…

We study the coverage properties of full conformal regression in the proportional asymptotic regime where the ratio of the dimension and the sample size converges to a constant. In this setting, existing theory tells us only that full…

We propose a new inferential framework for constructing confidence regions and testing hypotheses in statistical models specified by a system of high dimensional estimating equations. We construct an influence function by projecting the…

Constructing valid confidence sets is a crucial task in statistical inference, yet traditional methods often face challenges when dealing with complex models or limited observed sample sizes. These challenges are frequently encountered in…

For sparse high-dimensional regression problems, Cox and Battey [1, 9] emphasised the need for confidence sets of models: an enumeration of those small sets of variables that fit the data equivalently well in a suitable statistical sense.…

This paper is concerned with inference in threshold regression models when the practitioners do not know whether at the threshold point the true specification has a kink or a jump. We nest previous works that assume either continuity or…

We develop uniformly valid confidence regions for regression coefficients in a high-dimensional sparse median regression model with homoscedastic errors. Our methods are based on a moment equation that is immunized against non-regular…

We develop a novel method to construct uniformly valid confidence bands for a nonparametric component $f_1$ in the sparse additive model $Y=f_1(X_1)+\ldots + f_p(X_p) + \varepsilon$ in a high-dimensional setting. Our method integrates sieve…

We develop a uniform inference theory for high-dimensional slope parameters in threshold regression models, allowing for either cross-sectional or time series data. We first establish oracle inequalities for prediction errors, and L1…

Statistical inferences for high-dimensional regression models have been extensively studied for their wide applications ranging from genomics, neuroscience, to economics. However, in practice, there are often potential unmeasured…