Exact post-selection inference for adjusted R squared selection

DOI10.1016/J.SPL.2024.110133MaRDI QIDQ6580266zbMATH OpenFDO

Authors Sarah Pirenne, Gerda Claeskens

Publication date 29 July 2024

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPL.2024.110133

zbMATH Keywords

model selectionregression modelsselective inferencepost-selection inferenceadjusted R squaredpseudo R squared

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites work

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• Selective inference after likelihood- or test-based model selection in linear models
• Selective inference with a randomized response
• Statistical learning and selective inference
• Valid post-selection inference

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