Valid Post-Selection and Post-Regularization Inference: An Elementary, General Approach
提出一种通用分析框架，通过使用正交估计方程，在高维干扰参数存在选择或正则化偏差时，仍能对低维目标参数进行有效的统计推断，适用于线性工具变量模型等场景。
We present an expository, general analysis of valid post-selection or post-regularization inference about a low-dimensional target parameter in the presence of a very high-dimensional nuisance parameter that is estimated using selection or regularization methods. Our analysis provides a set of high-level conditions under which inference for the low-dimensional parameter based on testing or point estimation methods will be regular despite selection or regularization biases occurring in the estimation of the high-dimensional nuisance parameter. A key element is the use of so-called immunized or orthogonal estimating equations that are locally insensitive to small mistakes in the estimation of the high-dimensional nuisance parameter. As an illustration, we analyze affine-quadratic models and specialize these results to a linear instrumental variables model with many regressors and many instruments. We conclude with a review of other developments in post-selection inference and note that many can be viewed as special cases of the general encompassing framework of orthogonal estimating equations provided in this article.