The Annals of Statistics

Weak signal identification and inference in penalized model selection

Peibei Shi and Annie Qu

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Abstract

Weak signal identification and inference are very important in the area of penalized model selection, yet they are underdeveloped and not well studied. Existing inference procedures for penalized estimators are mainly focused on strong signals. In this paper, we propose an identification procedure for weak signals in finite samples, and provide a transition phase in-between noise and strong signal strengths. We also introduce a new two-step inferential method to construct better confidence intervals for the identified weak signals. Our theory development assumes that variables are orthogonally designed. Both theory and numerical studies indicate that the proposed method leads to better confidence coverage for weak signals, compared with those using asymptotic inference. In addition, the proposed method outperforms the perturbation and bootstrap resampling approaches. We illustrate our method for HIV antiretroviral drug susceptibility data to identify genetic mutations associated with HIV drug resistance.

Article information

Source
Ann. Statist., Volume 45, Number 3 (2017), 1214-1253.

Dates
Received: May 2015
Revised: February 2016
First available in Project Euclid: 13 June 2017

Permanent link to this document
https://projecteuclid.org/euclid.aos/1497319693

Digital Object Identifier
doi:10.1214/16-AOS1482

Mathematical Reviews number (MathSciNet)
MR3662453

Zentralblatt MATH identifier
1371.62025

Subjects
Primary: 62F30: Inference under constraints 62J07: Ridge regression; shrinkage estimators
Secondary: 62E15: Exact distribution theory

Keywords
Model selection weak signal finite sample inference adaptive Lasso

Citation

Shi, Peibei; Qu, Annie. Weak signal identification and inference in penalized model selection. Ann. Statist. 45 (2017), no. 3, 1214--1253. doi:10.1214/16-AOS1482. https://projecteuclid.org/euclid.aos/1497319693


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Supplemental materials

  • Supplement to “Weak signal identification and inference in penalized model selection”. Due to space constraints, we relegate technical details of the remaining proofs to the supplement.