On the Length of Post-Model-Selection Confidence Intervals Conditional on Polyhedral Constraints

DOI10.1080/01621459.2020.1732989zbMath1464.62244arXiv1803.01665OpenAlexW3006742332MaRDI QIDQ4999163

Hannes Leeb, Danijel Kivaranovic

Publication date: 6 July 2021

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.01665

zbMATH Keywords

hypothesis testconfidence intervalLassoinference after model selection

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Ridge regression; shrinkage estimators (Lasso) (62J07)

Related Items (7)

Post-model-selection inference in linear regression models: an integrated review ⋮ Uniformly valid confidence intervals post-model-selection ⋮ Empirical Bayes and selective inference ⋮ Post-selection inference via algorithmic stability ⋮ Carving model-free inference ⋮ Approximate Selective Inference via Maximum Likelihood ⋮ Inference for \(L_2\)-boosting

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