Details

Autor(en) / Beteiligte

• Lee, Jason D.
• Sun, Dennis L.
• Sun, Yuekai
• Taylor, Jonathan E.

Titel

EXACT POST-SELECTION INFERENCE, WITH APPLICATION TO THE LASSO

Ist Teil von

• The Annals of statistics, 2016-06, Vol.44 (3), p.907-927

Ort / Verlag

Hayward: Institute of Mathematical Statistics

Erscheinungsjahr

2016

Quelle

Project Euclid Complete

Beschreibungen/Notizen

• We develop a general approach to valid inference after model selection. At the core of our framework is a result that characterizes the distribution of a post-selection estimator conditioned on the selection event. We specialize the approach to model selection by the lasso to form valid confidence intervals for the selected coefficients and test whether all relevant variables have been included in the model.