期刊
ANNALS OF STATISTICS
卷 44, 期 3, 页码 907-927出版社
INST MATHEMATICAL STATISTICS
DOI: 10.1214/15-AOS1371
关键词
Lasso; confidence interval; hypothesis test; model selection
资金
- National Defense Science and Engineering Graduate Fellowship
- Stanford Graduate Fellowship
- Ric Weiland Graduate Fellowship
- Stanford Genome Training Program (SGTP
- NIH/NHGRI)
- NIH [U01GM102098]
- NSF [DMS-12-08857]
- AFOSR [113039]
- Direct For Mathematical & Physical Scien
- Division Of Mathematical Sciences [1208857] Funding Source: National Science Foundation
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.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据