Multicarving for high-dimensional post-selection inference
From MaRDI portal
Publication:2044355
Abstract: We consider post-selection inference for high-dimensional (generalized) linear models. Data carving (Fithian et al., 2014) is a promising technique to perform this task. However, it suffers from the instability of the model selector and hence, may lead to poor replicability, especially in high-dimensional settings. We propose the multicarve method inspired by multisplitting to improve upon stability and replicability. Furthermore, we extend existing concepts to group inference and illustrate the applicability of the methodology also for generalized linear models.
Recommendations
Cites work
- \(\chi^{2}\)-confidence sets in high-dimensional regression
- \(p\)-values for high-dimensional regression
- A knockoff filter for high-dimensional selective inference
- A modern maximum-likelihood theory for high-dimensional logistic regression
- Confidence Intervals and Hypothesis Testing for High-Dimensional Regression
- Confidence intervals for high-dimensional linear regression: minimax rates and adaptivity
- Confidence intervals for low dimensional parameters in high dimensional linear models
- Controlling the false discovery rate via knockoffs
- Exact post-selection inference, with application to the Lasso
- Hierarchical inference for genome-wide association studies: a view on methodology with software
- Hierarchical testing of variable importance
- High-dimensional graphs and variable selection with the Lasso
- High-dimensional inference: confidence intervals, \(p\)-values and R-software \texttt{hdi}
- High-dimensional variable selection
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- Lasso-type recovery of sparse representations for high-dimensional data
- On asymptotically optimal confidence regions and tests for high-dimensional models
- Post-selection inference for _1-penalized likelihood models
- Selective inference with a randomized response
- Simultaneous analysis of Lasso and Dantzig selector
- Statistical significance in high-dimensional linear models
- Statistics for high-dimensional data. Methods, theory and applications.
- The benefit of group sparsity in group inference with de-biased scaled group Lasso
- THE FINITE-SAMPLE DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS AND UNIFORM VERSUS NONUNIFORM APPROXIMATIONS
- Uniform asymptotic inference and the bootstrap after model selection
- Valid post-selection inference
- Valid post-selection inference in model-free linear regression
Cited in
(9)- More Powerful Selective Inference for the Graph Fused Lasso
- Carving model-free inference
- Exact post-selection inference for adjusted R squared selection
- Treatment effect estimation with efficient data aggregation
- Selective inference using randomized group Lasso estimators for general models
- Parametric programming-based approximate selective inference for adaptive lasso, adaptive elastic net and group lasso
- Selective inference with distributed data
- Exact selective inference with randomization
- Simultaneous factors selection and fusion of their levels in penalized logistic regression
This page was built for publication: Multicarving for high-dimensional post-selection inference
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2044355)
