论文标题

与组拉索回归的近似后选择性推断

Approximate Post-Selective Inference for Regression with the Group LASSO

论文作者

Panigrahi, Snigdha, MacDonald, Peter W., Kessler, Daniel

论文摘要

在选择组套索(或普遍的变体,例如重叠,稀疏或标准化的组套索)之后,在没有选择偏见的调整的情况下,对所选参数的推断是不可靠的。在受惩罚的高斯回归设置中,现有方法为选择事件提供了调整,这些事件可以表示为数据变量中的线性不平等。然而,这种表示未能与组套索一起选择,并实质上阻碍了随后的选择后推断的范围。推论兴趣的关键问题 - 例如,推断所选变量对结果的影响 - 仍未得到解答。在本文中,我们开发了一种一致的,选择性的贝叶斯方法,通过得出似然调整因子和近似值来解决现有差距,从而消除了组中的偏见。对模拟数据和人类Connectome项目数据的实验表明,我们的方法恢复了所选组中参数的影响,同时仅支付较小的偏差调整价格。

After selection with the Group LASSO (or generalized variants such as the overlapping, sparse, or standardized Group LASSO), inference for the selected parameters is unreliable in the absence of adjustments for selection bias. In the penalized Gaussian regression setup, existing approaches provide adjustments for selection events that can be expressed as linear inequalities in the data variables. Such a representation, however, fails to hold for selection with the Group LASSO and substantially obstructs the scope of subsequent post-selective inference. Key questions of inferential interest -- for example, inference for the effects of selected variables on the outcome -- remain unanswered. In the present paper, we develop a consistent, post-selective, Bayesian method to address the existing gaps by deriving a likelihood adjustment factor and an approximation thereof that eliminates bias from the selection of groups. Experiments on simulated data and data from the Human Connectome Project demonstrate that our method recovers the effects of parameters within the selected groups while paying only a small price for bias adjustment.

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