Risk inflation of sequential tests controlled by alpha investing

DOI10.1080/00949655.2014.990454MaRDI QIDQ5220929zbMATH OpenOpenAlexFDO

Authors Dean P. Foster, Robert A. Stine

Publication date 27 March 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2014.990454

zbMATH Keywords

stochastic dynamic programmingtestimatorvariable selection

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• α-Investing: a Procedure for Sequential Control of Expected False Discoveries
• A universal prior for integers and estimation by minimum description length
• Elements of Information Theory
• Ideal spatial adaptation by wavelet shrinkage
• Learning and Smoothed Analysis
• Testing Statistical Hypotheses
• The risk inflation criterion for multiple regression
• Universal codeword sets and representations of the integers
• VIF regression: a fast regression algorithm for large data

Cited in

(2)

• Streamwise feature selection
• Sequential monitoring of portfolio betas

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