Special Section: Recent Developments in Sparse Estimation: Methods and Theories
Post-Selection Inference for Sparse Estimation
2023 Volume 53 Issue 1 Pages 139-167
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2023 Volume 53 Issue 1 Pages 139-167
The core theory of Post-Selection Inference (PSI) in sparse estimation is explained as simply as possible. The first half describes Lasso’s polyhedral theory of PSI (Lee et al. (2016)), how to find conditional distributions, and PSI in Forward stepwise. In the latter half, after describing the difference in operation between Lasso and LARS, the principle of Significance Test (Lockhart et al. (2014)) and Spacing Test (Tibshirani et al. (2016)) is described based on it.This is a review paper.
