Selective inference after likelihood- or test-based model selection in linear models

DOI10.1016/J.SPL.2018.04.010MaRDI QIDQ1644176zbMATH OpenOpenAlexFDO

Authors David Rügamer, Sonja Greven

Publication date 21 June 2018

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1706.09796

zbMATH Keywords

AIClinear modelsselective inferencelikelihood-based model selectiontest-based model selection

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05)

Abstract: Statistical inference after model selection requires an inference framework that takes the selection into account in order to be valid. Following recent work on selective inference, we derive analytical expressions for inference after likelihood- or test-based model selection for linear models.

Recommendations

• Exact post-selection inference, with application to the Lasso
• Inference After Model Selection
• Valid post-selection inference
• Post-selection inference for \(\ell_1\)-penalized likelihood models
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION

Cites work

• scientific article; zbMATH DE number 3115438 (Why is no real title available?)
• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• Estimating the dimension of a model
• Exact post-selection inference, with application to the Lasso
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION
• Note on a Conditional Property of Student's $t^1$
• Valid post-selection inference
• Variable selection in infinite-dimensional problems

Cited in

(19)

• Inference after separated hypotheses testing: an empirical investigation for linear models
• Scalable methods for Bayesian selective inference
• Statistical learning and selective inference
• Approximate Selective Inference via Maximum Likelihood
• Selective inference for additive and linear mixed models
• Exact post-selection inference for adjusted R squared selection
• Regularized projection score estimation of treatment effects in high-dimensional quantile regression
• Post-selection inference for \(\ell_1\)-penalized likelihood models
• Valid post-selection inference
• Post-model-selection inference in linear regression models: an integrated review
• Inference after variable selection in linear regression models
• Model selection via testing: an alternative to (penalized) maximum likelihood estimators.
• Inference for \(L_2\)-boosting
• An Approach to Inference Following Model Selection With Applications to Transformation-Based and Adaptive Inference
• Optimal finite sample post-selection confidence distributions in generalized linear models
• Bayesian selective inference
• Inference After Model Selection
• Post-selection estimation and testing following aggregate association tests
• Selective inference with unknown variance via the square-root Lasso

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