Invited Talk: Post-selection Inference for Forward Stepwise Regression, Lasso and other procedures
In this talk I will present new inference tools for adaptive statistical procedures. These tools provide p-values and confidence intervals that have correct “post-selection” properties: they account for the selection that has already been carried out on the same data. I discuss application of these ideas to a wide variety of problems including Forward Stepwise Regression, Lasso, PCA, and graphical models. I will also discuss computational issues and software for implementation of these ideas.
- Robert Tibshirani