[Statlist] Research Webinar in Statistics *FRIDAY, 20 NOVEMBER 2020* GSEM, University of Geneva

[gsem-support-instituts]

Dear All,

We are pleased to invite you to our next Research Webinar.

Looking forward to seeing you


Organizers :                                                                                   
E. Cantoni - S. Engelke - D. La Vecchia - E. Ronchetti
S. Sperlich - F. Trojani - M.-P. Victoria-Feser


FRIDAY, 20 NOVEMBER 2020 at 11:15am
ONLINE
Please join the Zoom research webinar: https://unige.zoom.us/j/99238951053?pwd=dkd5UlRlYXkvNzZicnY0UlBCeW5rdz09
Password: 419459


Valid Inference after Model Selection via Confidence Curves
Gerda CLAESKENS (https://perswww.kuleuven.be/~u0043181/) - KU Leuven, Belgium

ABSTRACT:
Post-selection inference is a rather recent methodology that incorporates the extra variability added by model selection to perform valid inference. When a model is not given, but is the result of a model search endeavor, the uncertainty about the model that is used for inference has consequences for hypothesis testing and for the construction of confidence intervals for the model parameters of interest. Ignoring this uncertainty leads to overoptimistic results, p-values that are too small and confidence intervals that are too narrow.

In this talk I shall mainly focus on the well-known Akaike information criterion (AIC) for model selection and the effects on the construction of confidence intervals after its use. By unraveling the selection method it is possible to incorporate the uncertainty about the selected model and to obtain confidence intervals that have the correct coverage. As a result, the post-AIC selection confidence intervals are wider than the classic naive confidence intervals, reaffirming that ignoring model selection leads to invalid inference.

It will be explained how to use confidence distributions to obtain valid inference after model selection for the parameters of interest in exponential families. Under some assumptions, we obtain uniformly most powerful post-selection confidence curves.


Visit the website: https://www.unige.ch/gsem/en/research/seminars/rcs/

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