Related papers: Interval Estimation of Coefficients in Penalized R…

Selective inference methods are developed for group lasso estimators for use with a wide class of distributions and loss functions. The method includes the use of exponential family distributions, as well as quasi-likelihood modeling for…

Variable selection for regression models plays a key role in the analysis of biomedical data. However, inference after selection is not covered by classical statistical frequentist theory which assumes a fixed set of covariates in the…

We develop methodology for valid inference after variable selection in logistic regression when the responses are partially observed, that is, when one observes a set of error-prone testing outcomes instead of the true values of the…

Generalized linear models (GLMs) using a regression procedure to fit relationships between predictor and target variables are widely used in automobile insurance data. Here, in the process of ratemaking and in order to compute the premiums…

Investigators often use the data to generate interesting hypotheses and then perform inference for the generated hypotheses. P-values and confidence intervals must account for this explorative data analysis. A fruitful method for doing so…

We develop a general approach to valid inference after model selection. At the core of our framework is a result that characterizes the distribution of a post-selection estimator conditioned on the selection event. We specialize the…

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…

Choosing relevant predictors is central to the analysis of biomedical time-to-event data. Classical frequentist inference, however, presumes that the set of covariates is fixed in advance and does not account for data-driven variable…

In this paper we consider the problem of constructing confidence intervals for coefficients of martingale regression models (in particular, time series models) after variable selection. Although constructing confidence intervals are common…

We develop a post-selection inference method for the Cox proportional hazards model with interval-censored data, which provides asymptotically valid p-values and confidence intervals conditional on the model selected by lasso. The method is…

It is common practice in statistical data analysis to perform data-driven variable selection and derive statistical inference from the resulting model. Such inference enjoys none of the guarantees that classical statistical theory provides…

Selective inference (post-selection inference) is a methodology that has attracted much attention in recent years in the fields of statistics and machine learning. Naive inference based on data that are also used for model selection tends…

Post-selection inference consists in providing statistical guarantees, based on a data set, that are robust to a prior model selection step on the same data set. In this paper, we address an instance of the post-selection-inference problem,…

Applying standard statistical methods after model selection may yield inefficient estimators and hypothesis tests that fail to achieve nominal type-I error rates. The main issue is the fact that the post-selection distribution of the data…

The purpose of this paper is to propose methodologies for statistical inference of low-dimensional parameters with high-dimensional data. We focus on constructing confidence intervals for individual coefficients and linear combinations of…

The Tweedie generalized linear models are commonly applied in the insurance industry to analyze semicontinuous claim data. For better prediction of the aggregated claim size, the mean and dispersion of the Tweedie model are often estimated…

We consider inference post-model-selection in linear regression. In this setting, Berk et al.(2013) recently introduced a class of confidence sets, the so-called PoSI intervals, that cover a certain non-standard quantity of interest with a…

We propose a unified framework to draw inferences for regression coefficients in a generalized linear model (GLM) following Lasso-based variable selection. We adapt to non-Gaussian GLMs a recently developed parametric programming strategy…

The Tweedie GLM is a widely used method for predicting insurance premiums. However, the structure of the logarithmic mean is restricted to a linear form in the Tweedie GLM, which can be too rigid for many applications. As a better…

Prediction uncertainty quantification is a key research topic in recent years scientific and business problems. In insurance industries (\cite{parodi2023pricing}), assessing the range of possible claim costs for individual drivers improves…