Papers › Post-selection inference for L1-penalized likelihood models

Post-selection inference for L1-penalized likelihood models

24 Feb 2016arXiv:1602.07358links table onlyarchive 2025-07-28

Jonathan Taylor, Robert Tibshirani

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We present a new method for post-selection inference for L1 (lasso)-penalized likelihood models, including generalized regression models. Our approach generalizes the post-selection framework presented in Lee et al (2014). The method provides p-values and confidence intervals that are asymptotically valid, conditional on the inherent selection done by the lasso. We present applications of this work to (regularized) logistic regression, Cox's proportional hazards model and the graphical lasso.

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