Asymptotics of selective inference

DOI10.1111/SJOS.12261MaRDI QIDQ5738837zbMATH OpenOpenAlexFDO

Authors Xiaoying Tian, Jonathan Taylor

Publication date 13 June 2017

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1501.03588

zbMATH Keywords

high-dimensional inferenceLASSOleast absolute shrinkage and selection operatornon-Gaussian errorselective inference

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

Abstract: In this paper, we seek to establish asymptotic results for selective inference procedures removing the assumption of Gaussianity. The class of selection procedures we consider are determined by affine inequalities, which we refer to as affine selection procedures. Examples of affine selection procedures include post-selection inference along the solution path of the LASSO, as well as post-selection inference after fitting the LASSO at a fixed value of the regularization parameter. We also consider some tests in penalized generalized linear models. Our method of proof adapts a method of Chatterjee (2005).

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Cited in

(28)

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• Distribution-free predictive inference for regression
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• Exact post-selection inference for the generalized Lasso path
• Selective inference with a randomized response
• Special issue on 40 years of statistical selection theory, Part I
• Uniform convergence of the empirical cumulative distribution function under informative selection from a finite population
• Post-model-selection inference in linear regression models: an integrated review
• Prediction error after model search
• Inference for L₂-boosting
• Selective inference via marginal screening for high dimensional classification
• A knockoff filter for high-dimensional selective inference
• Asymptotics for the maximum sample likelihood estimator under informative selection from a finite population
• Optimal finite sample post-selection confidence distributions in generalized linear models
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• A general framework for estimation and inference from clusters of features
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• Estimation Theory of Selective Reporting: The Best-1-of-k Report
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• Targeted Inference Involving High-Dimensional Data Using Nuisance Penalized Regression
• scientific article; zbMATH DE number 7750671 (Why is no real title available?)
• Selective Inference for Hierarchical Clustering
• Approximate Selective Inference via Maximum Likelihood
• A (tight) upper bound for the length of confidence intervals with conditional coverage
• Post-selection inference for the Cox model with interval-censored data
• Generalized Data Thinning Using Sufficient Statistics
• Inferring Independent Sets of Gaussian Variables after Thresholding Correlations
• Asymptotic post-selection inference for regularized graphical models

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