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For high-dimensional inference problems, statisticians have a number of competing interests. On the one hand, procedures should provide accurate estimation, reliable structure learning, and valid uncertainty quantification. On the other hand, procedures should be computationally efficient and able to scale to very high dimensions. In this note, I show that a very simple data-dependent measure can achieve all of these desirable properties simultaneously, along with some robustness to the error distribution, in sparse sequence models.
This paper presents and analyzes an approach to cluster-based inference for dependent data. The primary setting considered here is with spatially indexed data in which the dependence structure of observed random variables is characterized by a known,
In this paper we discuss the estimation of a nonparametric component $f_1$ of a nonparametric additive model $Y=f_1(X_1) + ...+ f_q(X_q) + epsilon$. We allow the number $q$ of additive components to grow to infinity and we make sparsity assumptions a
In this paper, we survey some recent results on statistical inference (parametric and nonparametric statistical estimation, hypotheses testing) about the spectrum of stationary models with tapered data, as well as, a question concerning robustness of
In this paper we develop an online statistical inference approach for high-dimensional generalized linear models with streaming data for real-time estimation and inference. We propose an online debiased lasso (ODL) method to accommodate the special s
We propose statistical inferential procedures for panel data models with interactive fixed effects in a kernel ridge regression framework.Compared with traditional sieve methods, our method is automatic in the sense that it does not require the choic