Exact post-selection inference, with application to the Lasso

DOI10.1214/15-AOS1371zbMATH Open1341.62061arXiv1311.6238MaRDI QIDQ292865FDOQ292865

Authors: Jason D. Lee, Dennis L. Sun, Yuekai Sun, Jonathan Taylor 

Publication date: 9 June 2016

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

Abstract: We develop a general approach to valid inference after model selection. At the core of our framework is a result that characterizes the distribution of a post-selection estimator conditioned on the selection event. We specialize the approach to model selection by the lasso to form valid confidence intervals for the selected coefficients and test whether all relevant variables have been included in the model.

Full work available at URL: https://arxiv.org/abs/1311.6238

Recommendations

• Valid post-selection inference
• Post-selection inference for \(\ell_1\)-penalized likelihood models
• Valid post-selection inference in model-free linear regression
• Exact post-selection inference for the generalized Lasso path
• Selective inference with unknown variance via the square-root Lasso

zbMATH Keywords

Lassomodel selectionconfidence intervalhypothesis test

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Parametric hypothesis testing (62F03) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

• Least angle regression. (With discussion)
• Title not available (Why is that?)
• Confidence Intervals and Hypothesis Testing for High-Dimensional Regression
• Regularization and Variable Selection Via the Elastic Net
• Testing Statistical Hypotheses
• A unified framework for high-dimensional analysis of \(M\)-estimators with decomposable regularizers
• On asymptotically optimal confidence regions and tests for high-dimensional models
• Asymptotics for Lasso-type estimators.
• A significance test for the lasso
• Valid post-selection inference
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION
• Title not available (Why is that?)
• Asymptotics of Selective Inference
• Can one estimate the conditional distribution of post-model-selection estimators?
• Conditional properties of statistical procedures
• The Lasso problem and uniqueness
• The positive false discovery rate: A Bayesian interpretation and the \(q\)-value
• Selective inference in complex research
• Confidence sets based on penalized maximum likelihood estimators in Gaussian regression
• Rejoinder: ``A significance test for the lasso
• Drop-the-losers design: binomial case
• Uniform asymptotic inference and the bootstrap after model selection
• Title not available (Why is that?)
• A note on data-splitting for the evaluation of significance levels
• Selection Adjusted Confidence Intervals With More Power to Determine the Sign
• False Discovery Rate–Adjusted Multiple Confidence Intervals for Selected Parameters

Cited In (only showing first 100 items - show all)

• Inference for low‐ and high‐dimensional inhomogeneous Gibbs point processes
• High-dimensional inference: confidence intervals, \(p\)-values and R-software \texttt{hdi}
• Inference After Model Selection
• Mathematical foundations of machine learning. Abstracts from the workshop held March 21--27, 2021 (hybrid meeting)
• Confidence Intervals for Sparse Penalized Regression With Random Designs
• A scalable surrogate \(L_0\) sparse regression method for generalized linear models with applications to large scale data
• The LASSO on latent indices for regression modeling with ordinal categorical predictors
• Data shared Lasso: a novel tool to discover uplift
• Selective inference for latent block models
• Selective inference with a randomized response
• Uniformly valid confidence intervals post-model-selection
• Lasso guarantees for \(\beta \)-mixing heavy-tailed time series
• Title not available (Why is that?)
• A Multi-resolution Theory for Approximating Infinite-p-Zero-n: Transitional Inference, Individualized Predictions, and a World Without Bias-Variance Tradeoff
• Testing regression coefficients after model selection through sign restrictions
• Post hoc confidence bounds on false positives using reference families
• Title not available (Why is that?)
• Confidence intervals centred on bootstrap smoothed estimators
• Projection-based Inference for High-dimensional Linear Models
• Bootstrapping and sample splitting for high-dimensional, assumption-lean inference
• Inference for High-Dimensional Censored Quantile Regression
• A knockoff filter for high-dimensional selective inference
• Discussion on: “A Scale-Free Approach for False Discovery Rate Control in Generalized Linear Models” by Dai, Lin, Zing, Liu
• Exact post-selection inference for the generalized Lasso path
• Solution paths for the generalized Lasso with applications to spatially varying coefficients regression
• On the distribution, model selection properties and uniqueness of the Lasso estimator in low and high dimensions
• Selective inference for additive and linear mixed models
• On the post selection inference constant under restricted isometry properties
• Network classification with applications to brain connectomics
• Testing for high-dimensional network parameters in auto-regressive models
• Title not available (Why is that?)
• Selective inference after likelihood- or test-based model selection in linear models
• Uniformly valid confidence sets based on the Lasso
• Confidence intervals for the means of the selected populations
• Demystifying the bias from selective inference: a revisit to Dawid's treatment selection problem
• AIC for the Lasso in generalized linear models
• Exponentially tilted likelihood inference on growing dimensional unconditional moment models
• Degrees of freedom for piecewise Lipschitz estimators
• Exploiting Disagreement Between High-Dimensional Variable Selectors for Uncertainty Visualization
• Title not available (Why is that?)
• Inference without compatibility: using exponential weighting for inference on a parameter of a linear model
• Model selection with mixed variables on the Lasso path
• Inference after estimation of breaks
• Scalable methods for Bayesian selective inference
• Multicarving for high-dimensional post-selection inference
• Statistical methods for replicability assessment
• Regularized matrix-variate logistic regression with response subject to misclassification
• Uniformly valid inference based on the Lasso in linear mixed models
• Conditional predictive inference post model selection
• Valid post-selection inference in model-free linear regression
• Uniform asymptotic inference and the bootstrap after model selection
• A Bootstrap Lasso + Partial Ridge Method to Construct Confidence Intervals for Parameters in High-dimensional Sparse Linear Models
• Spatial Variable Selection and An Application to Virginia Lyme Disease Emergence
• Testing the simplifying assumption in high-dimensional vine copulas
• Post-Selection Inference Following Aggregate Level Hypothesis Testing in Large-Scale Genomic Data
• Predictor ranking and false discovery proportion control in high-dimensional regression
• Title not available (Why is that?)
• Least-Square Approximation for a Distributed System
• A penalized approach to covariate selection through quantile regression coefficient models
• Regression analysis for microbiome compositional data
• Two-directional simultaneous inference for high-dimensional models
• Lasso Inference for High-Dimensional Time Series
• Distribution-Free Predictive Inference For Regression
• Rejoinder on: ``High-dimensional simultaneous inference with the bootstrap
• Comments on: ``High-dimensional simultaneous inference with the bootstrap
• Partitioned Approach for High-dimensional Confidence Intervals with Large Split Sizes
• Exact adaptive confidence intervals for linear regression coefficients
• An Automated Approach Towards Sparse Single-Equation Cointegration Modelling
• Flexible and Interpretable Models for Survival Data
• Selective inference via marginal screening for high dimensional classification
• ROCKET: robust confidence intervals via Kendall's tau for transelliptical graphical models
• Derandomizing Knockoffs
• An improved algorithm for high-dimensional continuous threshold expectile model with variance heterogeneity
• Statistical proof? The problem of irreproducibility
• On the Use of Minimum Penalties in Statistical Learning
• Testing Shape Constraints in Lasso Regularized Joinpoint Regression
• False Discovery Rate Control via Data Splitting
• Selective inference for clustering with unknown variance
• Variable Selection in Regression-Based Estimation of Dynamic Treatment Regimes
• Post-clustering difference testing: valid inference and practical considerations with applications to ecological and biological data
• Post-selection inference of generalized linear models based on the lasso and the elastic net
• Relaxing the assumptions of knockoffs by conditioning
• Confidently Comparing Estimates with the c-value
• Sequential knockoffs for continuous and categorical predictors: with application to a large psoriatic arthritis clinical trial pool
• Distributionally robust and generalizable inference
• Conditional calibration for false discovery rate control under dependence
• Markov Neighborhood Regression for High-Dimensional Inference
• Selective Inference for Hierarchical Clustering
• The costs and benefits of uniformly valid causal inference with high-dimensional nuisance parameters
• Valid Inference Corrected for Outlier Removal
• Exact post-selection inference for adjusted R squared selection
• Title not available (Why is that?)
• Title not available (Why is that?)
• Excess Optimism: How Biased is the Apparent Error of an Estimator Tuned by SURE?
• Simultaneous selection and inference for varying coefficients with zero regions: a soft-thresholding approach
• Statistical Inference for High-Dimensional Models via Recursive Online-Score Estimation
• Marginal false discovery rate for a penalized transformation survival model
• High-dimensional statistical inference via DATE
• Activation discovery with FDR control: application to fMRI data
• Trade-off between predictive performance and FDR control for high-dimensional Gaussian model selection

Uses Software

• covTest

This page was built for publication: Exact post-selection inference, with application to the Lasso

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q292865)