A Bootstrap Lasso + Partial Ridge Method to Construct Confidence Intervals for Parameters in High-dimensional Sparse Linear Models (1706.02150v2)

Abstract: Constructing confidence intervals for the coefficients of high-dimensional sparse linear models remains a challenge, mainly because of the complicated limiting distributions of the widely used estimators, such as the lasso. Several methods have been developed for constructing such intervals. Bootstrap lasso+ols is notable for its technical simplicity, good interpretability, and performance that is comparable with that of other more complicated methods. However, bootstrap lasso+ols depends on the beta-min assumption, a theoretic criterion that is often violated in practice. Thus, we introduce a new method, called bootstrap lasso+partial ridge, to relax this assumption. Lasso+partial ridge is a two-stage estimator. First, the lasso is used to select features. Then, the partial ridge is used to refit the coefficients. Simulation results show that bootstrap lasso+partial ridge outperforms bootstrap lasso+ols when there exist small, but nonzero coefficients, a common situation that violates the beta-min assumption. For such coefficients, the confidence intervals constructed using bootstrap lasso+partial ridge have, on average, $50\%$ larger coverage probabilities than those of bootstrap lasso+ols. Bootstrap lasso+partial ridge also has, on average, $35\%$ shorter confidence interval lengths than those of the de-sparsified lasso methods, regardless of whether the linear models are misspecified. Additionally, we provide theoretical guarantees for bootstrap lasso+partial ridge under appropriate conditions, and implement it in the R package "HDCI."