Exact selective inference with randomization

Snigdha Panigrahi, Kevin Fry and Jonathan Taylor

Biometrika, 2024, vol. 111, issue 4, 1109-1127

Abstract: SummaryWe introduce a pivot for exact selective inference with randomization. Not only does our pivot lead to exact inference in Gaussian regression models, but it is also available in closed form. We reduce this problem to inference for a bivariate truncated Gaussian variable. By doing so, we give up some power that is achieved with approximate maximum likelihood estimation in Panigrahi & Taylor (2023). Yet our pivot always produces narrower confidence intervals than a closely related data-splitting procedure. We investigate the trade-off between power and exact selective inference on simulated datasets and an HIV drug resistance dataset.

Keywords: Data carving; Data splitting; Exact inference; Pivot; Post-selection inference; Randomization; Selective inference (search for similar items in EconPapers)
Date: 2024
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