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

AIClikelihood-based model selectionlinear modelsselective inferencetest-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 _1-penalized likelihood models
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION

Cites work

• Estimating the dimension of a model
• Exact post-selection inference, with application to the Lasso
• scientific article; zbMATH DE number 3115438 (Why is no real title available?)
• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION
• Note on a Conditional Property of Student's t¹
• Valid post-selection inference
• Variable selection in infinite-dimensional problems

Cited in

(21)

• Scalable methods for Bayesian selective inference
• Selective inference for additive and linear mixed models
• Post-model-selection inference in linear regression models: an integrated review
• Inference for L₂-boosting
• Model selection via testing: an alternative to (penalized) maximum likelihood estimators.
• Optimal finite sample post-selection confidence distributions in generalized linear models
• Statistical learning and selective inference
• Valid post-selection inference
• An Approach to Inference Following Model Selection With Applications to Transformation-Based and Adaptive Inference
• Inference after variable selection in linear regression models
• Selective inference with unknown variance via the square-root Lasso
• Post-selection inference for _1-penalized likelihood models
• Regularized projection score estimation of treatment effects in high-dimensional quantile regression
• Post-selection estimation and testing following aggregate association tests
• Inference after separated hypotheses testing: an empirical investigation for linear models
• Inference After Model Selection
• Approximate Selective Inference via Maximum Likelihood
• Bayesian selective inference
• Exact post-selection inference for adjusted R squared selection
• Confidence intervals for tree-structured varying coefficients
• Parametric programming-based approximate selective inference for adaptive lasso, adaptive elastic net and group lasso

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Uses Software

• coinflibs
• GitHub

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