Are discoveries spurious? Distributions of maximum spurious correlations and their applications

DOI10.1214/17-AOS1575zbMath1402.62097arXiv1502.04237WikidataQ55399837 ScholiaQ55399837MaRDI QIDQ1650067

Y. Aharonov

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/1502.04237

zbMATH Keywords

asymptotic distribution; consistency; data mining; machine learning; Lasso; SCAD; high dimension; exogeneity; multiplier bootstrap; covariate; spurious correlation; false discovery; sub-Gaussian; sparse linear model

Mathematics Subject Classification ID

62H10: Multivariate distribution of statistics

62P10: Applications of statistics to biology and medical sciences; meta analysis

62F03: Parametric hypothesis testing

62H20: Measures of association (correlation, canonical correlation, etc.)

62E17: Approximations to statistical distributions (nonasymptotic)

Uses Software

• ElemStatLearn