Corpus ID: 18590004

Selective Sequential Model Selection

@article{Fithian2015SelectiveSM,
  title={Selective Sequential Model Selection},
  author={W. Fithian and Jonathan Taylor and R. Tibshirani and Ryan J Tibshirani},
  journal={arXiv: Methodology},
  year={2015}
}
  • W. Fithian, Jonathan Taylor, +1 author Ryan J Tibshirani
  • Published 2015
  • Mathematics
  • arXiv: Methodology
  • Many model selection algorithms produce a path of fits specifying a sequence of increasingly complex models. Given such a sequence and the data used to produce them, we consider the problem of choosing the least complex model that is not falsified by the data. Extending the selected-model tests of Fithian et al. (2014), we construct p-values for each step in the path which account for the adaptive selection of the model path using the data. In the case of linear regression, we propose two… CONTINUE READING

    Figures and Tables from this paper.

    Testing-Based Forward Model Selection
    • 16
    • Open Access
    Testing-Based Forward Model Selection
    Exact post-selection inference for the generalized lasso path
    • 10
    • Open Access
    Analysis of Testing-Based Forward Model Selection
    More Powerful Selective Kernel Tests for Feature Selection
    • 1
    • Open Access
    Exact Post-Selection Inference for Changepoint Detection and Other Generalized Lasso Problems
    • 15
    • Open Access
    Efficient test-based variable selection for high-dimensional linear models
    More powerful post-selection inference, with application to the Lasso
    • 16
    • Open Access
    Analysis of error control in large scale two-stage multiple hypothesis testing
    • 1
    • Highly Influenced
    • Open Access

    References

    Publications referenced by this paper.
    SHOWING 1-10 OF 35 REFERENCES
    A significance test for forward stepwise model selection
    • 34
    • Open Access
    Least angle regression
    • 7,778
    • Open Access
    Testing-Based Forward Model Selection
    • 16
    • Open Access
    On Model Selection Consistency of Lasso
    • 2,145
    • Open Access
    Sequential selection procedures and false discovery rate control
    • 117
    • Open Access
    Uniform Asymptotic Inference and the Bootstrap After Model Selection
    • 64
    • Open Access
    Accumulation Tests for FDR Control in Ordered Hypothesis Testing
    • 41
    • Highly Influential
    • Open Access
    Stability Selection
    • 1,299
    • Open Access
    Optimal Inference After Model Selection
    • 187
    • Open Access