High-dimensional inference: confidence intervals, p-values and R-software hdi

• Autores: Ruben Dezeure, Peter Bühlmann, Lukas Meier, Nicolai Meinshausen
• Localización: Statistical science, ISSN 0883-4237, Vol. 30, Nº. 4, 2015, págs. 533-558
• Idioma: inglés
• DOI: 10.1214/15-sts527
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• Resumen

  • We present a (selective) review of recent frequentist highdimensional inference methods for constructing p-values and confidence intervals in linear and generalized linear models. We include a broad, comparative empirical study which complements the viewpoint from statistical methodology and theory. Furthermore, we introduce and illustrate the Rpackage hdi which easily allows the use of different methods and supports reproducibility.