Robust group and simultaneous inferences for high-dimensional single index model

Weichao Yang, Hongwei Shi, Xu Guo, Changliang Zou

Keywords: FDR control, high-dimensional inference, honest test, outliers, robustness

TL;DR: This paper introduces high-dimensional robust inference procedures by recasting the single index model into a pseudo-linear model with transformed responses.

Abstract: The high-dimensional single index model (SIM), which assumes that the response is independent of the predictors given a linear combination of predictors, has drawn attention due to its flexibility and interpretability, but its efficiency is adversely affected by outlying observations and heavy-tailed distributions. This paper introduces a robust procedure by recasting the SIM into a pseudo-linear model with transformed responses. It relaxes the distributional conditions on random errors from sub-Gaussian to more general distributions and thus it is robust with substantial efficiency gain for heavy-tailed random errors. Under this paradigm, we provide asymptotically honest group inference procedures based on the idea of orthogonalization, which enjoys the feature that it does not require the zero and nonzero coefficients to be well-separated. Asymptotic null distribution and bootstrap implementation are both established. Moreover, we develop a multiple testing procedure for determining if the individual coefficients are relevant simultaneously, and show that it is able to control the false discovery rate asymptotically. Numerical results indicate that the new procedures can be highly competitive among existing methods, especially for heavy-tailed errors.

Primary Area: Probabilistic methods (for example: variational inference, Gaussian processes)

Submission Number: 8019