Summary and discussion of: “Exact Post-selection Inference for Forward Stepwise and Least Angle Regression”
نویسندگان
چکیده
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 inference after any polyhedron selection mechanism, and the approach is applicable to both FS and LAR.
منابع مشابه
Exact Post-selection Inference for Forward Stepwise and Least Angle Regression
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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