PoSI-package: Valid Post-Selection Inference for Linear LS Regression
Description
In linear LS regression, calculate for a given regressor 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.
Arguments
Details
Package:
PoSI
Type:
Package
Version:
1.1
Date:
2020-10-24
License:
GPL-3
References
``Valid Post-Selection Inference,''
Berk, R., Brown, L., Buja, A., Zhang, K., Zhao, L.,
The Annals of Statistics, 41 (2), 802--837~(2013).
# NOT RUN {<!-- %% ~~ simple examples of the most important functions ~~ -->
# }# NOT RUN {data(Boston, package="MASS")
summary(PoSI(Boston[,-14]))
# }