Uniform asymptotic inference and the bootstrap after model selection

DOI10.1214/17-AOS1584zbMath1392.62210arXiv1506.06266OpenAlexW2963312390MaRDI QIDQ1650078

Alessandro Rinaldo, Ryan J. Tibshirani, Larry Alan Wasserman, Robert Tibshirani

Publication date: 29 June 2018

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.06266

zbMATH Keywords

bootstrapasymptoticsLassoselective inferenceforward stepwise regressionpost-selection inference

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Robustness and adaptive procedures (parametric inference) (62F35) Asymptotic properties of parametric tests (62F05)

Related Items (26)

On the post selection inference constant under restricted isometry properties ⋮ Exact post-selection inference, with application to the Lasso ⋮ Post-model-selection inference in linear regression models: an integrated review ⋮ Ridge regression revisited: debiasing, thresholding and bootstrap ⋮ Uniform asymptotic inference and the bootstrap after model selection ⋮ Exploiting Disagreement Between High-Dimensional Variable Selectors for Uncertainty Visualization ⋮ Uniformly valid confidence intervals post-model-selection ⋮ Optimal finite sample post-selection confidence distributions in generalized linear models ⋮ Post‐selection inference for changepoint detection algorithms with application to copy number variation data ⋮ Selective inference after feature selection via multiscale bootstrap ⋮ More Powerful Selective Inference for the Graph Fused Lasso ⋮ Bootstrapping some GLM and survival regression variable selection estimators ⋮ Selective Inference for Hierarchical Clustering ⋮ Forward-selected panel data approach for program evaluation ⋮ Carving model-free inference ⋮ Valid post-selection inference in model-free linear regression ⋮ Exact post-selection inference for the generalized Lasso path ⋮ Selective inference with a randomized response ⋮ Bootstrapping and sample splitting for high-dimensional, assumption-lean inference ⋮ Inference after estimation of breaks ⋮ Multicarving for high-dimensional post-selection inference ⋮ Selective inference for latent block models ⋮ Inference for \(L_2\)-boosting ⋮ Bootstrapping multiple linear regression after variable selection ⋮ Selective inference for additive and linear mixed models ⋮ High-dimensional statistical inference via DATE

Uses Software

• covTest

Cites Work

• Inference in adaptive regression via the Kac-Rice formula
• Exact post-selection inference, with application to the Lasso
• Valid post-selection inference
• Selecting the number of principal components: estimation of the true rank of a noisy matrix
• Can one estimate the conditional distribution of post-model-selection estimators?
• One-sided inference about functionals of a density
• Uniform asymptotic inference and the bootstrap after model selection
• A significance test for the lasso
• Uniformity and the delta method
• Valid confidence intervals for post-model-selection predictors
• CAN ONE ESTIMATE THE UNCONDITIONAL DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS?
• Bayes estimation subject to uncertainty about parameter constraints
• Asymptotic Statistics
• THE FINITE-SAMPLE DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS AND UNIFORM VERSUS NONUNIFORM APPROXIMATIONS
• Post‐selection point and interval estimation of signal sizes in Gaussian samples
• Asymptotics of Selective Inference
• Discussion: ``A significance test for the lasso

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