Splitting strategies for post-selection inference

By Daniel Garcia Rasines, G. Alastair Young. Biometrika, 2021

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We consider the problem of providing valid inference for a selected parameter in a sparse regression setting. It is well known that classical regression tools can be unreliable in this context due to the bias generated in the selection step. Many approaches have been proposed in recent years to ensure inferential validity. Here, we consider a simple alternative to data splitting based on randomizing the response vector, which allows for higher selection and inferential power than the former and is applicable with an arbitrary selection rule. We provide a theoretical and empirical comparison of both methods and derive a central limit theorem for the randomization approach. Our investigations show that the gain in power can be substantial.

Subfields: Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/f6e3dd8ace024a91f273c3de1845dea9df6ad65e