Can we trust the bootstrap in high-dimension?

2 Aug 2016Noureddine El KarouiElizabeth Purdom

We consider the performance of the bootstrap in high-dimensions for the setting of linear regression, where $p<n$ but $p/n$ is not close to zero. We consider ordinary least-squares as well as robust regression methods and adopt a minimalist performance requirement: can the bootstrap give us good confidence intervals for a single coordinate of $\beta$?.. (read more)

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