Post-selection Inference for Forward Stepwise Regression, Lasso and other Adaptive Statistical procedures

Talk Slides »

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.

This talk represents work (some joint) with many people including Jonathan Taylor, Richard Lockhart, Ryan Tibshirani, Will Fithian, Jason Lee, Dennis Sun, Yuekai Sun and Yunjin Choi.