Exact Post-Selection Inference for Sequential Regression Procedures
نویسندگان
چکیده
منابع مشابه
Exact Post-Selection Inference for Sequential Regression Procedures
We propose new inference tools for forward stepwise regression, least angle regression, and the lasso. Assuming a Gaussian model for the observation vector y, we first describe a general scheme to perform valid inference after any selection event that can be characterized as y falling into a polyhedral set. This framework allows us to derive conditional (post-selection) hypothesis tests at any ...
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We develop a framework for post-selection inference with the lasso. At the core of our framework is a result that characterizes the exact (non-asymptotic) distribution of linear combinations/contrasts of truncated normal random variables. This result allows us to (i) obtain honest confidence intervals for the selected coefficients that account for the selection procedure, and (ii) devise a test...
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In this report we summarize the recent paper [Taylor et al., 2014] which proposes new inference tools for methods that perform variable selection and estimation in an adaptive regression. Although this paper mainly studies forward stepwise regression (FS) and least angle regression (LAR), the approach in this paper is not limited to these cases. This paper describes how to carry out exact infer...
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In this paper we propose new inference tools for forward stepwise and least angle regression. We first present a general scheme to perform valid inference after any selection event that can be characterized as the observation vector y falling into some polyhedral set. This framework then allows us to derive conditional (post-selection) hypothesis tests at any step of the forward stepwise and le...
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We develop a framework for post model selection inference, via marginal screening, in linear regression. At the core of this framework is a result that characterizes the exact distribution of linear functions of the response y, conditional on the model being selected (“condition on selection" framework). This allows us to construct valid confidence intervals and hypothesis tests for regression ...
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ژورنال
عنوان ژورنال: Journal of the American Statistical Association
سال: 2016
ISSN: 0162-1459,1537-274X
DOI: 10.1080/01621459.2015.1108848