Uniformly valid post-regularization confidence regions for many functional parameters in z-estimation framework
In this paper, we develop procedures to construct simultaneous confidence bands for p potentially infinite-dimensional parameters after model selection for general moment condition models where p is potentially much larger than the sample size of available data, n. This allows us to cover settings w...
| Main Authors: | , , , |
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| Other Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
Institute of Mathematical Statistics,
2019-11-14T20:22:27Z.
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| Subjects: | |
| Online Access: | Get fulltext |