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Zijian Guo (Rutgers University) – ” Doubly Debiased Lasso: High-Dimensional Inference under Hidden Confounding “
Statistical Seminar: Every Monday at 2:00 pm.
Time: 2:00 pm – 3:15 pm
Date: 5th of June 2023
Zijian Guo (Rutgers University) – “ Doubly Debiased Lasso: High-Dimensional Inference under Hidden Confounding “
Inferring causal relationships or related associations from observational data can be invalidated by the existence of hidden confounding. We focus on a high-dimensional linear regression setting, where the measured covariates are affected by hidden confounding and propose the Doubly Debiased Lasso estimator for individual components of the regression coefficient vector. Our advocated method simultaneously corrects both the bias due to estimation of high-dimensional parameters as well as the bias caused by the hidden confounding. We establish its asymptotic normality and also prove that it is efficient in the Gauss-Markov sense. The validity of our methodology relies on a dense confounding assumption, i.e. that every confounding variable affects many covariates. The finite sample performance is illustrated with an extensive simulation study and a genomic application.
Joint work with : Domagoj Cevid and Peter Bühlmann.
Cristina BUTUCEA (CREST), Alexandre TSYBAKOV (CREST), Karim LOUNICI (CMAP) , Jaouad MOURTADA (CREST)