Statistics Seminar: STA 290
Thursday, April 18th, 2013 at 4:10pm, MSB 1147 (Colloquium Room)
Refreshments at 3:30pm in MSB 4110 (Statistics Lounge)
Speaker: Jonathan Taylor (Stanford University)
Title: "A significance test for adaptive linear modeling"
Abstract: In this talk we consider testing the significance of the terms in a fitted regression, fit via the lasso. We propose a novel test statistic for this problem, and show that it has a simple asymptotic null distribution. This work builds on the least angle regression approach for fitting the lasso, and the notion of degrees of freedom for adaptive models (Efron 1986) and for the lasso (Efron et al. 2004, Zou et al. 2007). We give examples of this procedure, discuss extensions to generalized linear models and the Cox model, and describe an R language package for its computation.
This is joint work with Richard Lockhart (Simon Fraser University) and Ryan Tibshirani (Carnegie Mellon University)