AlgorithmConsider the linear regression with samples ![]()
Goal: We aim at ex post statistical inference on individual model parameters MethodBelow we provide a brief explanation of the online debiasing method. For more details and scissions, we refer to our paper. Denote by ![]()
The online debased estimator ![]()
How to choose decorrelating matrices?We focus on times series as an important application of adaptively collected data and consider a vector autoregression (VAR) model for time series. By a proper change of variables, a Var(d) model can be represented as the linear regression with The proposed online debiasing provides valid statistical significance measures for the model parameters (the time invariant matrices in the Var(d) model). To construct decorrelating matrices
1. For ![]() ![]() With 2. Set Our analysis in the paper suggests the choice of episode lengths |