EXACT POST-SELECTION INFERENCE, WITH APPLICATION TO THE LASSO
EXACT POST-SELECTION INFERENCE, WITH APPLICATION TO THE LASSO
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DOI：
10.1214/15-aos1371
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发表时间：
2016-06-01
影响因子：
4.5
通讯作者：
Taylor, Jonathan E.
中科院分区：
文献类型：
--
作者：
Lee, Jason D.;Sun, Dennis L.;Taylor, Jonathan E.
我们开发了一种在模型选择后进行有效推理的通用方法。我们框架的核心是一个具有特征的结果。以选择事件为条件的后选择估计器的分布。我们专门使用套索进行模型选择的方法，为所选系数形成有效的置信区间，并测试所有相关变量是否已包含在模型中。
We develop a general approach to valid inference after model selection. At the core of our framework is a result that characterizes. the distribution of a post-selection estimator conditioned on the selection event. We specialize the approach to model selection by the lasso to form valid confidence intervals for the selected coefficients and test whether all relevant variables have been included in the model.