[Statlist] Next talk: Monday, December 10, 2012 at 15.00h with Andreas Buja, The Wharton School, University of Pennsylvania

[Cecilia Rey]

ETH and University of Zurich

Proff. P. Buehlmann -  L. Held - H.R. Kuensch -
M. Maathuis -  S. van de Geer - M. Wolf

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We are glad to announce the following talk
Monday, December 10, 2012, HG G 19.1

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by Andreas Buja (The Wharton School, University of Pennsylvania)

Title
Valid Post-Selection Inference

Abstract 
It is common practice in statistical data analysis to perform data-driven variable selection and derive statistical inference from the resulting model. Such inference enjoys none of the guarantees that classical statistical theory provides for tests and confidence intervals when the model has been chosen a priori. We propose to produce valid "post-selection inference" by reducing the problem to one of simultaneous inference and hence suitably widening conventional confidence and retention intervals. Simultaneity is required for all linear functions that arise as coefficient estimates in all submodels. By purchasing "simultaneity insurance" for all possible submodels, the resulting post-selection inference is rendered universally valid under all possible model selection procedures. This inference is therefore generally conservative for particular selection procedures, but it is always less conservative than full Scheffe protection. Importantly it does NOT depend on the truth of the selected submodel, and hence it produces valid inference even in wrong models. We describe the structure of the simultaneous inference problem and give some asymptotic results. 

JOINT WITH: Richard Berk, Larry Brown, Kai Zhang, Linda Zhao


The abstract can also be found here:  http://stat.ethz.ch/events/research_seminar
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