Selective inference with unknown variance via the square-root lasso

DOI10.1093/biomet/asy045zbMath1506.62347arXiv1504.08031OpenAlexW2963254458MaRDI QIDQ4562726

Joshua R. Loftus, Xiaoying Tian, Jonathan E. Taylor

Publication date: 18 December 2018

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.08031

zbMATH Keywords

model selectionhypothesis testingconfidence intervalLassosquare-root Lasso

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Related Items (9)

Post-model-selection inference in linear regression models: an integrated review ⋮ Score Tests With Incomplete Covariates and High-Dimensional Auxiliary Variables ⋮ Correcting for unknown errors in sparse high-dimensional function approximation ⋮ Prediction error after model search ⋮ Derandomizing Knockoffs ⋮ Selective inference with a randomized response ⋮ Selective inference via marginal screening for high dimensional classification ⋮ Simple expressions of the LASSO and SLOPE estimators in low-dimension ⋮ A knockoff filter for high-dimensional selective inference

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