P-values for high-dimensional regression
Assigning significance in high-dimensional regression is challenging. Most computationally efficient selection algorithms cannot guard against inclusion of noise variables. Asymptotically valid p-values are not available. An exception is a recent proposal by Wasserman and Roeder (2008) which splits...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2008
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