High-Dimensional Inference: Confidence Intervals, $p$-Values and R-Software hdi

@article{Dezeure2015HighDimensionalIC,
  title={High-Dimensional Inference: Confidence Intervals, \$p\$-Values and R-Software hdi},
  author={Ruben Dezeure and Peter Buhlmann and Lukas Meier and N. Meinshausen},
  journal={Statistical Science},
  year={2015},
  volume={30},
  pages={533-558}
}
  • Ruben Dezeure, Peter Buhlmann, +1 author N. Meinshausen
  • Published 2015
  • Mathematics
  • Statistical Science
  • We present a (selective) review of recent frequentist highdimensional inference methods for constructing p-values and confidence intervals in linear and generalized linear models. We include a broad, comparative empirical study which complements the viewpoint from statistical methodology and theory. Furthermore, we introduce and illustrate the Rpackage hdi which easily allows the use of different methods and supports reproducibility. 
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