相关论文: Confidence Sets Based on Sparse Estimators Are Nec…

The problem of constructing confidence sets in the high-dimensional linear model with $n$ response variables and $p$ parameters, possibly $p\ge n$, is considered. Full honest adaptive inference is possible if the rate of sparse estimation…

While conformal predictors reap the benefits of rigorous statistical guarantees on their error frequency, the size of their corresponding prediction sets is critical to their practical utility. Unfortunately, there is currently a lack of…

We consider the setting of linear regression in high dimension. We focus on the problem of constructing adaptive and honest confidence sets for the sparse parameter \theta, i.e. we want to construct a confidence set for theta that contains…

We study confidence intervals based on hard-thresholding, soft-thresholding, and adaptive soft-thresholding in a linear regression model where the number of regressors $k$ may depend on and diverge with sample size $n$. In addition to the…

The issue of honesty in constructing confidence sets arises in nonparametric regression. While optimal rate in nonparametric estimation can be achieved and utilized to construct sharp confidence sets, severe degradation of confidence level…

In this paper, we propose a new framework to construct confidence sets for a $d$-dimensional unknown sparse parameter $\theta$ under the normal mean model $X\sim N(\theta,\sigma^2I)$. A key feature of the proposed confidence set is its…

In a sparse stochastic block model with two communities of unequal sizes we derive two posterior concentration inequalities, that imply (1) posterior (almost-)exact recovery of the community structure under sparsity bounds comparable to…

Practical or scientific considerations often lead to selecting a subset of parameters as ``important.'' Inferences about those parameters often are based on the same data used to select them in the first place. That can make the reported…

Confidence sets play a fundamental role in statistical inference. In this paper, we consider confidence intervals for high dimensional linear regression with random design. We first establish the convergence rates of the minimax expected…

Many popular methods for building confidence intervals on causal effects under high-dimensional confounding require strong "ultra-sparsity" assumptions that may be difficult to validate in practice. To alleviate this difficulty, we here…

Confidence intervals based on penalized maximum likelihood estimators such as the LASSO, adaptive LASSO, and hard-thresholding are analyzed. In the known-variance case, the finite-sample coverage properties of such intervals are determined…

This paper revisits the simple, but empirically salient, problem of inference on a real-valued parameter that is partially identified through upper and lower bounds with asymptotically normal estimators. A simple confidence interval is…

Often it is not easy to choose between estimators, based on the estimated MSE and bias using simulation studies. Normality in small samples and a variance of the estimator, which is correct and easy to calculate using a single sample, give…

We investigate the credible sets and marginal credible intervals resulting from the horseshoe prior in the sparse multivariate normal means model. We do so in an adaptive setting without assuming knowledge of the sparsity level (number of…

In most prediction and estimation situations, scientists consider various statistical models for the same problem, and naturally want to select amongst the best. Hansen et al. (2011) provide a powerful solution to this problem by the…

In this paper, we provide a general methodology to draw statistical inferences on individual signal coordinates or linear combinations of them in sparse phase retrieval. Given an initial estimator for the targeting parameter (some simple…

Knowing when a classifier's prediction can be trusted is useful in many applications and critical for safely using AI. While the bulk of the effort in machine learning research has been towards improving classifier performance,…

Confidence estimation (CE) indicates how reliable the answers of large language models are and impacts user trust and decision-making. Existing evaluations mainly concern the alignment between confidence and correctness, but ignore the…

In many statistical problems, several estimators are usually available for interval estimation of a parameter of interest, and hence, the selection of an appropriate estimator is important. The criterion for a good estimator is to have a…

Some large scale inference problems are considered based on using the relative belief ratio as a measure of statistical evidence. This approach is applied to the multiple testing problem. A particular application of this is concerned with…