Valid post-selection inference in model-free linear regression

DOI10.1214/19-AOS1917zbMath1455.62137OpenAlexW3088350445MaRDI QIDQ2215767

Arun Kumar Kuchibhotla, Edward I. George, Linda H. Zhao, Junhui Cai, Lawrence D. Brown, Andreas Buja

Publication date: 14 December 2020

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

Full work available at URL: https://projecteuclid.org/euclid.aos/1600480938

zbMATH Keywords

model selectionsimultaneous inferenceconcentration inequalitiesuniform consistencymultiplier bootstraphigh-dimensional linear regressionOrlicz norms

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Parametric tolerance and confidence regions (62F25) Linear regression; mixed models (62J05) Bootstrap, jackknife and other resampling methods (62F40) Analysis of variance and covariance (ANOVA) (62J10) Paired and multiple comparisons; multiple testing (62J15)

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Cites Work

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• Valid confidence intervals for post-model-selection predictors
• The Conditional Level of the F-Test
• Inflation of R 2 in Best Subset Regression
• Frequentist Model Average Estimators
• An asymptotic theory for model selection inference in general semiparametric problems
• Note on a Conditional Property of Student's $t^1$
• Linear and Conic Programming Estimators in High Dimensional Errors-in-variables Models

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