De-Biasing The Lasso With Degrees-of-Freedom Adjustment
This work addresses the challenge of reliable statistical inference in high-dimensional data analysis, providing an incremental improvement to existing de-biasing methods by enhancing efficiency in dense scenarios.
The paper tackles the problem of constructing confidence intervals for linear combinations of regression coefficients in high-dimensional sparse linear models using de-biased Lasso, showing that a degrees-of-freedom adjustment is necessary for efficiency across a full range of sparsity levels, achieving asymptotic efficiency under conditions like s0/p → 0 and s0 log(p/s0)/n → 0.
This paper studies schemes to de-bias the Lasso in a linear model $y=Xβ+ε$ where the goal is to construct confidence intervals for $a_0^Tβ$ in a direction $a_0$, where $X$ has iid $N(0,Σ)$ rows. We show that previously analyzed propositions to de-bias the Lasso require a modification in order to enjoy efficiency in a full range of sparsity. This modification takes the form of a degrees-of-freedom adjustment that accounts for the dimension of the model selected by Lasso. Let $s_0$ be the true sparsity. If $Σ$ is known and the ideal score vector proportional to $XΣ^{-1}a_0$ is used, the unadjusted de-biasing schemes proposed previously enjoy efficiency if $s_0\lll n^{2/3}$. However, if $s_0\ggg n^{2/3}$, the unadjusted schemes cannot be efficient in certain $a_0$: then it is necessary to modify existing procedures by a degrees-of-freedom adjustment. This modification grants asymptotic efficiency for any $a_0$ when $s_0/p\to 0$ and $s_0\log(p/s_0)/n \to 0$. If $Σ$ is unknown, efficiency is granted for general $a_0$ when $$\frac{s_0\log p}{n}+\min\Big\{\frac{s_Ω\log p}{n},\frac{\|Σ^{-1}a_0\|_1\sqrt{\log p}}{\|Σ^{-1/2}a_0\|_2 \sqrt n}\Big\}+\frac{\min(s_Ω,s_0)\log p}{\sqrt n}\to0$$ where $s_Ω=\|Σ^{-1}a_0\|_0$, provided that the de-biased estimate is modified with the degrees-of-freedom adjustment. The dependence in $s_0,s_Ω$ and $\|Σ^{-1}a_0\|_1$ is optimal. Our estimated score vector provides a novel methodology to handle dense $a_0$. Our analysis shows that the degrees-of-freedom adjustment is not needed when the initial bias in direction $a_0$ is small, which is granted under stringent conditions on $Σ^{-1}$. The main proof argument is an interpolation path similar to that typically used to derive Slepian's lemma. It yields a new $\ell_\infty$ error bound for the Lasso which is of independent interest.