Comments on: High-dimensional simultaneous inference with the bootstrap
- 115 Downloads
The authors should be congratulated on their insightful article proposing forms of residual and paired bootstrap methodologies in the context of simultaneous testing in sparse and high-dimensional linear models. We appreciate the clear exposition of their work, and the effectiveness of the proposed method. The authors advocate for the bootstrap of a complete high-dimensional estimate rather than the linearized part of the test statistic. We appreciate the opportunity to comment on several aspects of this article.
Keywordsp-values Robustness Sampling
Mathematics Subject Classification62J05 62F03 62F40
- Horowitz JL (2001) The bootstrap. In: Heckman JJ, Leamer EE (eds) Handbook of econometrics, chap. 52, vol 5, 1st edn. Elsevier, Amsterdam, pp 3159–3228Google Scholar
- Zhang X, Cheng G (2017) Simultaneous inference for high-dimensional linear models. J Am Stat Assoc 112(518):757–768Google Scholar
- Zhu Y, Bradic J (2016) Hypothesis testing in non-sparse high-dimensional linear models. arXiv:1610.02122