Belloni, Alexandre; Chernozhukov, Victor; Kato, Kengo - Centre for Microdata Methods and Practice (CEMMAP) - 2013
We develop uniformly valid confidence regions for a regression coefficient in a high-dimensional sparse LAD (least … absolute deviation or median) regression model. The setting is one where the number of regressors p could be large in … comparison to the sample size n, but only s « n of them are needed to accurately describe the regression function. Our new …