Gerda Claeskens - Asymptotic post-selection inference after model selection by the Akaike information criterion


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4 months ago by
Claeskens Slides (click here)
Community: WHOA-PSI 2017

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4 months ago by
How would your approach change if you used a selection technique that gives polygonal or polyhedral reegions?   For those selecction regions that are not connected, would it make sense to condition on the connected component?
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4 months ago by
Polyhedral regions are obtained from the lasso procedure, see Lee, Sun, Sun and Taylor 2016, AoS. You don't get them with AIC-like criteria, which give quadratic constraints.
Often the selection region consists of unconnected pieces (as in the example with all subsets selection, the green area in the figure which consists of 4 disconnected pieces). Just considering one of those components seems a bid odd, I'm not sure whether that has a clear interpretation or how to motivate which one to pick.
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