The MSSISS 2013 keynote speaker was Dr. Robert Tibshirani from Stanford University.
A Significance Test for the Lasso
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), Jonathan Taylor (Stanford University) and Ryan Tibshirani (Carnegie Mellon University).
Student Organizing Committee
|Raphael Nishimura||Survey Methodology||raphaeln[at]umich[dot]edu|
|Brady West||Survey Methodology||bwest[at]umich[dot]edu|