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Collaborative Research: Higher-Order Asymptotics and Accurate Inference for Post-Selection

合作研究：高阶渐进和后选择的精确推理

基本信息

批准号：
1712940
负责人：
Todd Kuffner
金额：
$ 8万
依托单位：
Washington University
依托单位国家：
美国
项目类别：
Standard Grant
财政年份：
2017
资助国家：
美国
起止时间：
2017-08-01 至 2021-07-31
项目状态：
已结题

来源：
https://www.nsf.gov/awardsearch/showAward?AWD_ID=1712940&HistoricalAwards=false
关键词：
Collaborative Research Higher Order Asymptotics

项目摘要

Many statistical analyses utilize a model selection procedure. Perhaps the most common model selection problem is that of variable selection in linear regression. Principled motivations for selection include the desire for interpretability, prevention of over-fitting, and concerns about statistical power. A practical motivation arises when the data are high-dimensional, with more explanatory variables than observations. Relevant applications span the entire domain of scientific inquiry, from neuroscience, medicine and physics, to economics, sociology, and psychology. A large catalogue of variable selection procedures is now available, and the statistics community has turned its focus to the question of inference after selection. Standard methods of statistical inference are no longer valid when the same data are used to both select a model and make inferences about that model. It is fundamentally important to have accurate post-selection inference procedures that are also powerful enough to detect observed departures from scientific hypotheses and that avoid the strong distributional assumptions needed for exact inference in finite samples. This research aims to develop post-selection inference methodology that is both accurate and powerful, with particular emphasis on reducing statistical errors that depend on the sample size. The goal of this project is to further understanding of the asymptotic theory of post-selection inference, particularly selective inference based on the CovTest and truncated Gaussian (TG) statistic, as well as simultaneous inference using the post-selection intervals (PoSI) procedure. The first two procedures can be motivated by selective error control, i.e., error control for the selected model parameters. The PoSI method seeks to control family-wise error rates for all possible sub-model parameters. While these procedures yield valid post-selection inference, without strong assumptions they are particularly vulnerable to the effects of violation of key assumptions in the realistic setting of small to moderate sample sizes, such as overly-conservative or inaccurate confidence intervals, and low power. In this project, asymptotic expansions, saddle-point approximations, the bootstrap, and related techniques from higher-order asymptotics will be employed to improve accuracy and power for these post-selection inference procedures.

许多统计分析使用模型选择程序。也许最常见的模型选择问题是线性回归中的变量选择问题。选择的原则性动机包括对可解释性的渴望，防止过度拟合，以及对统计功效的关注。当数据是高维的，解释变量比观测值多时，就会产生实际的动机。相关的应用涵盖了科学研究的整个领域，从神经科学、医学和物理学到经济学、社会学和心理学。现在有一个很大的变量选择程序目录，统计界已将重点转向选择后的推断问题。当使用相同的数据来选择模型并对该模型进行推断时，标准的统计推断方法不再有效。至关重要的是，要有准确的选择后推理程序，这些程序也要足够强大，以检测观察到的与科学假设的偏离，并避免在有限样本中进行精确推理所需的强分布假设。本研究的目的是发展后选择推理方法，是准确和强大的，特别强调减少统计误差，取决于样本量。该项目的目标是进一步理解后选择推理的渐近理论，特别是基于CovTest和截断高斯（TG）统计量的选择性推理，以及使用后选择间隔（PoSI）过程的同时推理。前两个过程可以由选择性错误控制来激励，即，所选模型参数的误差控制。PoSI方法试图控制所有可能的子模型参数的族误差率。虽然这些程序产生有效的选择后推断，没有强有力的假设，他们是特别容易受到违反的影响，在现实的小到中等的样本量，如过度保守或不准确的置信区间，和低功率的关键假设。在这个项目中，渐近展开，鞍点近似，自举，以及高阶渐近的相关技术将被用来提高这些后选择推理程序的准确性和功率。