Invited Talk: Post-selection Inference for Forward Stepwise Regression, Lasso and other procedures

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Microsoft Research
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Published on ● Video Link: https://www.youtube.com/watch?v=RKQJEvc02hc


Duration: 53:33
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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.



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