On the Length of Post-Model-Selection Confidence Intervals Conditional on Polyhedral Constraints
多面体约束条件下模型选择后置信区间的长度
Valid inference after model selection is currently a very active area of research. The polyhedral method, pioneered by Lee, et al. (2016), allows for valid inference after model selection if the model selection event can be described by polyhedral constraints. In that reference, the method is exemplified by constructing two valid confidence intervals when the Lasso estimator is used to select a model. We here study the length of these intervals. For one of these confidence…