High-Dimensional Inference: Confidence Intervals, p-Values and R-Software hdi

We present a (selective) review of recent frequentist high-dimensional inference methods for constructing p-values and confidence intervals in linear and generalized linear models. We include a broad, comparative empirical study which complements the viewpoint from statistical methodology and theory. Furthermore, we introduce and illustrate the R-package hdi which easily allows the use of different methods and supports reproducibility.