Testing a fixed value of lambda
Project description
The selection project
This project contains software for selective inference, with emphasis on selective inference in regression.
Some key references
A significance test for the lasso
: http://arxiv.org/abs/1301.7161Tests in adaptive regression via the Kac-Rice formula
: http://arxiv.org/abs/1308.3020Post-selection adaptive inference for Least Angle Regression and the Lasso
: http://arxiv.org/abs/1401.3889Exact post-selection inference with the lasso
: http://arxiv.org/abs/1311.6238Exact Post Model Selection Inference for Marginal Screening
: http://arxiv.org/abs/1402.5596
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.
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