De-biased Lasso for Generalized Linear Models with A Diverging Number of Covariates

TL;DR

This paper introduces a new de-biased lasso method for generalized linear models that effectively handles high-dimensional data with diverging covariates, providing valid confidence intervals without requiring sparsity assumptions.

Contribution

It proposes a bias-reduction approach by directly inverting the Hessian matrix, improving inference accuracy in large p, small n settings for GLMs.

Findings

Method achieves nominal coverage probabilities in simulations.

Performs well in bias reduction and confidence interval accuracy.

Successfully applied to lung cancer genetic data analysis.

Abstract

Modeling and drawing inference on the joint associations between single nucleotide polymorphisms and a disease has sparked interest in genome-wide associations studies. In the motivating Boston Lung Cancer Survival Cohort (BLCSC) data, the presence of a large number of single nucleotide polymorphisms of interest, though smaller than the sample size, challenges inference on their joint associations with the disease outcome. In similar settings, we find that neither the de-biased lasso approach (van de Geer et al. 2014), which assumes sparsity on the inverse information matrix, nor the standard maximum likelihood method can yield confidence intervals with satisfactory coverage probabilities for generalized linear models. Under this "large $n$, diverging $p$" scenario, we propose an alternative de-biased lasso approach by directly inverting the Hessian matrix without imposing the matrix sparsity assumption, which further reduces bias compared to the original de-biased lasso and ensures valid confidence intervals with nominal coverage probabilities. We establish the asymptotic distributions of any linear combinations of the parameter estimates, which lays the theoretical ground for drawing inference. Simulations show that the proposed refined de-biased estimating method performs well in removing bias and yields honest confidence interval coverage. We use the proposed method to analyze the aforementioned BLCSC data, a large scale hospital-based epidemiology cohort study, that investigates the joint effects of genetic variants on lung cancer risks.