Distributed Bootstrap for Simultaneous Inference Under High Dimensionality

Code

• github.com/skchao74/Distributed-bootstrap
  OfficialIn papernone★ 3

Abstract

We propose a distributed bootstrap method for simultaneous inference on high-dimensional massive data that are stored and processed with many machines. The method produces an _-norm confidence region based on a communication-efficient de-biased lasso, and we propose an efficient cross-validation approach to tune the method at every iteration. We theoretically prove a lower bound on the number of communication rounds _ that warrants the statistical accuracy and efficiency. Furthermore, _ only increases logarithmically with the number of workers and the intrinsic dimensionality, while nearly invariant to the nominal dimensionality. We test our theory by extensive simulation studies, and a variable screening task on a semi-synthetic dataset based on the US Airline On-Time Performance dataset. The code to reproduce the numerical results is available at GitHub: https://github.com/skchao74/Distributed-bootstrap.

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