Selective Inference for Group-Sparse Linear Models

Understand

We develop tools for selective inference in the setting of group sparsity, including the construction of confidence intervals and p-values for testing selected groups of variables.

• Our main technical result gives the precise distribution of the magnitude of the projection of the data onto a given subspace, and enables us to develop inference procedures for a broad class of group-sparse selection methods, including the group lasso, iterative hard thresholding, and forward stepwise regression.
• We give numerical results to illustrate these tools on simulated data and on health record data.