PoSI
Valid Post-Selection Inference for Linear LS Regression
v1.1
·
Nov 18, 2020
·
GPL-3
Description
In linear LS regression, calculate for a given design 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.
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