Statistical methods for adaptive data analysis
Abstract/Contents
- Abstract
- We consider the problem of inference for parameters selected to report only after some algorithm, the canonical example being inference for model parameters after a model selection procedure. After defining the selected parameters, the conditional correction for selection requires knowledge of how the selection is affected by changes in the underlying data. We address two important issues arising in selective inference methodology: statistical power of selective inference methods and generality of the selection procedures addressed by the methods. We provide two methods that improve on the power of the original selective inference methods. The first way to improve statistical power after data exploration is to do selection on a noisy version of the data, thus using less information in selection and leaving more for inference. We also introduce the bootstrap version of this method and prove asymptotic guarantees. By redefining the selected parameters to require as little as possible information from selection, the second method we introduce here improves greatly on the power of the original selective inference methods. We apply the method to conduct powerful inference after Lasso in high-dimensional settings. The third method enables inference after black box model selection algorithms, without having explicit selection. In this work, we assume we have in silico access to the selection algorithm. We recast the inference problem into a statistical learning problem which can be fit with off-the-shelf models for binary regression. We apply this method to stability selection, which was previously out of reach of this conditional approach.
Description
| Type of resource | text |
|---|---|
| Form | electronic resource; remote; computer; online resource |
| Extent | 1 online resource. |
| Place | California |
| Place | [Stanford, California] |
| Publisher | [Stanford University] |
| Copyright date | 2019; ©2019 |
| Publication date | 2019; 2019 |
| Issuance | monographic |
| Language | English |
Creators/Contributors
| Author | Markovic, Jelena, (Ph. D. in statistics) |
|---|---|
| Degree supervisor | Taylor, Jonathan E |
| Thesis advisor | Taylor, Jonathan E |
| Thesis advisor | Romano, Joseph P, 1960- |
| Thesis advisor | Tibshirani, Robert |
| Degree committee member | Romano, Joseph P, 1960- |
| Degree committee member | Tibshirani, Robert |
| Associated with | Stanford University, Department of Statistics. |
Subjects
| Genre | Theses |
|---|---|
| Genre | Text |
Bibliographic information
| Statement of responsibility | Jelena Markovic. |
|---|---|
| Note | Submitted to the Department of Statistics. |
| Thesis | Thesis Ph.D. Stanford University 2019. |
| Location | electronic resource |
Access conditions
- Copyright
- © 2019 by Jelena Markovic
- License
- This work is licensed under a Creative Commons Attribution Non Commercial 3.0 Unported license (CC BY-NC).
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