Estimation and Inference for High-dimensional Generalized Linear Models with Knowledge Transfer
Sai Li, Linjun Zhang, Tony Cai, and Hongzhe Li
Statistical inference for the target regression coefficients is also studied. Asymptotic normality for a debiased estimator is established and confidence intervals are constructed. Numerical studies show significant improvements in estimation and inference accuracy. Proposed methods are applied to a real data study concerning the classification of colorectal cancer using microbiomes, and are shown to enhance the classification accuracy in comparison to the single-task methods.