PoSI-package: Valid Post-Selection Inference for Linear LS Regression

Description Details Author(s) References See Also Examples

Description

In linear LS regression, calculate for a given regressor matrix the multiplier K of coefficient standard errors such that the confidence intervals [b - K*SE(b), b + K*SE(b)] have a guaranteed coverage probability for all coefficient estimates b in any submodels after performing arbitrary model selection.

Details

Package: PoSI
Type: Package
Version: 1.0
Date: 2015-04-15
License: GPL-3

Author(s)

Andreas Buja and Kai Zhang

Maintainers: Andreas Buja <[email protected]> and Kai Zhang <[email protected]>

References

“Valid Post-Selection Inference,” Berk, R., Brown, L., Buja, A., Zhang, K., Zhao, L., The Annals of Statistics, 41 (2), 802–837~(2013).

See Also

lm, link{model.matrix}

Examples

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data(Boston, package="MASS")
summary(PoSI(Boston[,-14]))

PoSI documentation built on May 29, 2017, 8:50 p.m.