Rank conditional coverage and confidence intervals in high dimensional problems

Abstract: Confidence interval procedures used in low dimensional settings are often inappropriate for high dimensional applications. When a large number of parameters are estimated, marginal confidence intervals associated with the most significant estimates have very low coverage rates: They are too small and centered at biased estimates. The problem of forming confidence intervals in high dimensional settings has previously been studied through the lens of selection adjustment. In this framework, the goal is to control the proportion of non-covering intervals formed for selected parameters. In this paper we approach the problem by considering the relationship between rank and coverage probability. Marginal confidence intervals have very low coverage rates for significant parameters and high rates for parameters with more boring estimates. Many selection adjusted intervals display the same pattern. This connection motivates us to propose a new coverage criterion for confidence intervals in multiple testing/covering problems --- the rank conditional coverage (RCC). This is the expected coverage rate of an interval given the significance ranking for the associated estimator. We propose interval construction via bootstrapping which produces small intervals and have a rank conditional coverage close to the nominal level. These methods are implemented in the R package rcc.