High-Dimensional Inference Based on the Leave-One-Covariate-Out LASSO Path (2005.03694v1)

Abstract: We propose a new measure of variable importance in high-dimensional regression based on the change in the LASSO solution path when one covariate is left out. The proposed procedure provides a novel way to calculate variable importance and conduct variable screening. In addition, our procedure allows for the construction of P-values for testing whether each coefficient is equal to zero as well as for testing hypotheses involving multiple regression coefficients simultaneously; bootstrap techniques are used to construct the null distribution. For low-dimensional linear models, our method can achieve higher power than the $t$-test. Extensive simulations are provided to show the effectiveness of our method. In the high-dimensional setting, our proposed solution path based test achieves greater power than some other recently developed high-dimensional inference methods.