The HiDimStat project aims at handling uncertainty in the challenging context of high dimensional regression problem. Though sparse models have been popularized in the last twenty years in contexts where many features can explain a phenomenon, it remains a burning issue to attribute confidence to the predictive models that they produce. Such a question is hard both from the statistical modeling point of view, and from a computation perspective. Indeed, in practical settings, the amount of features at stake (possibly up to several millions in high resolution brain imaging) limit the application of current methods and require new algorithms to achieve computational efficiency. We plan to leverage recent developments in sparse convex solvers as well as more efficient reformulations of testing and confidence interval estimates to provide several communities with practical software handling uncertainty quantification. Specific validation experiments will be performed in the field of brain imaging.
One of our concrete contribution is a Python package for high-dimensional inference, documentation and instruction to install this package are provided at https://ja-che.github.io/hidimstat/, the web page also contains several demo examples that exhibit the strength of our methods.