Exact Post-Selection Inference for Changepoint Detection and Other Generalized Lasso Problems

11 Jun 2016Sangwon HyunMax G'SellRyan J. Tibshirani

We study tools for inference conditioned on model selection events that are defined by the generalized lasso regularization path. The generalized lasso estimate is given by the solution of a penalized least squares regression problem, where the penalty is the l1 norm of a matrix D times the coefficient vector... (read more)

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