Corpus ID: 236493439

CAD: Debiasing the Lasso with inaccurate covariate model

@inproceedings{Celentano2021CADDT,
  title={CAD: Debiasing the Lasso with inaccurate covariate model},
  author={Michael Celentano and Andrea Montanari},
  year={2021}
}
We consider the problem of estimating a low-dimensional parameter in high-dimensional linear regression. Constructing an approximately unbiased estimate of the parameter of interest is a crucial step towards performing statistical inference. Several authors suggest to orthogonalize both the variable of interest and the outcome with respect to the nuisance variables, and then regress the residual outcome with respect to the residual variable. This is possible if the covariance structure of the… Expand

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