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Published on: October 11, 2018
Controlling false positive selections in high-dimensional regression and causal inference
Peter Bühlmann1, Philipp Rütimann, Markus Kalisch
1Seminar für Statistik, ETH Zürich, Zürich, Switzerland.
Abstract:
Guarding against false positive selections is important in many applications. We discuss methods based on subsampling and sample splitting for controlling the expected number of false positives and assigning p-values. They are generic and especially useful for high-dimensional settings. We review encouraging results for regression, and we discuss new adaptations and remaining challenges for selecting relevant variables, based on observational data, having a causal or interventional effect on a response of interest.
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