Adel Javanmard, Andrea Montanari
Fitting high-dimensional statistical models often requires the use of non-linear parameter estimation procedures. As a consequence, it is generally impossible to obtain an exact characterization of the probability distribution of the parameter estimates. This in turn implies that it is extremely challenging to quantify the
uncertainty' associated with a certain parameter estimate. Concretely, no commonly accepted procedure exists for computing classical measures of uncertainty and statistical significance as confidence intervals or p-values. We consider here a broad class of regression problems, and propose an efficient algorithm for constructing confidence intervals and p-values. The resulting confidence intervals have nearly optimal size. When testing for the null hypothesis that a certain parameter is vanishing, our method has nearly optimal power. Our approach is based on constructing ade-biased' version of regularized M-estimators. The new construction improves over recent work in the field in that it does not assume a special structure on the design matrix. Furthermore, proofs are remarkably simple. We test our method on a diabetes prediction problem.