semvec/pypi-packages huggingface dataset:
selectinf 0.1.3
Testing a fixed value of lambda
License: BSD license


The selection project
=====================

This project contains software for selective inference, with emphasis on
selective inference in regression.

Some key references
-------------------

-  ``A significance test for the lasso``: http://arxiv.org/abs/1301.7161
-  ``Tests in adaptive regression via the Kac-Rice formula``:
   http://arxiv.org/abs/1308.3020
-  ``Post-selection adaptive inference for Least Angle Regression and the Lasso``:
   http://arxiv.org/abs/1401.3889
-  ``Exact post-selection inference with the lasso``:
   http://arxiv.org/abs/1311.6238
-  ``Exact Post Model Selection Inference for Marginal Screening``:
   http://arxiv.org/abs/1402.5596

Install
-------

.. code:: python

   git submodule init # travis_tools and C-software
   git submodule update
   pip install -r requirements.txt
   python setup.py install

Potential speedups
------------------

-  We can condition on “parts” of each draw of the sampler, in
   particular if we condition on the projection of the rejection
   ``sample - center`` onto direction then resampling on the ray can be
   sped up for some things like LASSO. Could be some cost in power.

-  Learning a higher dimensional function can perhaps save some time –
   proper conditioning has to be checked.