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通过数据裂分进行经验贝叶斯估计AI 解读

We congratulate Leiner, Duan, Wasserman, and Ramdas on a stimulating article that joins an elegant method to a compelling application. Their article focuses primarily on applications to selective i...

利用重复数据的次序统计量回归进行非参数误差下的经验贝叶斯均值估计AI 解读

We study empirical Bayes estimation of the effect sizes of $N$ units from $K$ noisy observations on each unit. We show that it is possible to achieve near-Bayes optimal mean squared error, without any assumptions or knowledge about the effect size distribution or the noise. The noise distribution can be heteroskedastic and vary arbitrarily from unit to unit. Our proposal, which we call Aurora, leverages the replication inherent in the $K$ observations per unit and recasts…

精确的事后选择推断及其在 lasso 中的应用AI 解读

We develop a general approach to valid inference after model selection. At the core of our framework is a result that characterizes the distribution of a post-selection estimator conditioned on the selection event. We specialize the approach to model selection by the lasso to form valid confidence intervals for the selected coefficients and test whether all relevant variables have been included in the model.