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Testing a fixed value of lambda

Project description

This project contains software for selective inference, with emphasis on selective inference in regression.

Some key references

Install

git submodule init # travis_tools and C-software
git submodule update
pip install -r requirements.txt
python setup.py install

Potential speedups

  • We can condition on “parts” of each draw of the sampler, in particular if we condition on the projection of the rejection sample - center onto direction then resampling on the ray can be sped up for some things like LASSO. Could be some cost in power.
  • Learning a higher dimensional function can perhaps save some time – proper conditioning has to be checked.

Project details


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