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Abstract Details

Activity Number: 322
Type: Topic Contributed
Date/Time: Tuesday, July 31, 2012 : 10:30 AM to 12:20 PM
Sponsor: Section on Statistical Computing
Abstract - #304201
Title: Confidence Set for Variable Selection
Author(s): Yuhong Yang*+
Companies: University of Minnesota
Address: 313 Ford Hall, Minneapolis, MN, 55455, United States
Keywords: variable selection ; confidence set

In model selection, it is well-known that selection of predictors can be highly unstable, especially for high-dimensional problems. In this talk, we will try to quantify this instability and propose a method to construct a confidence set of variable selection. Theoretical and computational aspects will be examined.

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