Statistical Analysis Stack Exchange
Statistical Analysis Stack Exchange

Questions tagged [selectiveinference]

For questions related to CRAN R package selectiveInference and high dimensional inference for LASSO regularized regression models

9 questions
22
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3 answers

Using regularization when doing statistical inference

I know about the benefits of regularization when building predictive models (bias vs. variance, preventing overfitting). But, I'm wondering if it is a good idea to also do regularization (lasso, ridge, elastic net) when the main purpose of the…
user162381
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2 answers

Testing for coefficients significance in Lasso logistic regression

[A similar question was asked here with no answers] I have fit a logistic regression model with L1 regularization (Lasso logistic regression) and I would like to test the fitted coefficients for significance and get their p-values. I know Wald's…
Pablo
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2 answers

Is post-selection inference a problem when robust tests are used?

It's pretty well acknowledged that error control via p-values fails when models are selected based on the data rather than decided on a priori. I've always viewed this as an issue of marginal vs conditional distributions, such that: $$P(error) =…
Josh Pritsker
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How much of a problem is inference after model selection when few models are manually compared?

tl;dr: I found a better model than the one I first thought of while inspecting the data and performed a few steps of variable selection/model fine-tuning. I assume that this is a (mild) case of inference after model selection. I performed an…
jkd
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Inference for quasibinomial GLM with LASSO penalty using selectiveInference package

I would like to carry out inference on a binomial LASSO model, but take into account the fact that my data are overdispersed and use the quasibinomial family instead. R package selectiveInference, which does inference for LASSO models, only seems…
Tom Wenseleers
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Is Individual Coefficient Significance with Ridge or Lasso possible, when Amount of Variables exceeds Observations

First, to introduce you to my situation, I have a dataset containing n = 16 observations and p = 17 variables. My variable set contains 16 independent variables (14 variables I'm interested in and two serving as control variables) and one outcome…
Frank_Crunch
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Hypothesis Testing on Coefficients post LASSO Variable Selection (in R)

Is it possible to run a hypothesis test to test for a significant difference in calculated coefficients of the same independent variable in two different subsets of one population, after you have performed a LASSO selection process on each subset…
Green90
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Effect size after using elastic net and selective inference

I've employed Elastic net to fit a logistic model with predictors that displayed high degrees of correlation between themselves. I wanted to be able to see which predictors significantly influenced the models predictions, so I employed the…
GCO
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Bias in P-value of MM-type estimators or Cochrans Q Penalized Regression

There are a number of linear regression methods designed to limit the influence of outliers on estimates: For example, Cochrans Q Penalised regression as described in [1] will do an initial linear regression, then downweighting data points which…
par
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