Doubly debiased lasso: High-dimensional inference under hidden confounding
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. …