Model selection confidence sets by likelihood ratio testing

Chao Zheng, Davide Ferrari, Yuhong Yang

Research output: Contribution to journalArticle

1 Scopus citations

Abstract

The traditional activity of model selection aims at discovering a single model superior to other candidate models. In the presence of pronounced noise, however, multiple models are often found to explain the same data equally well. To resolve this model selection ambiguity, we introduce the general approach of model selection confidence sets (MSCSs) based on likelihood ratio testing. A MSCS is defined as a list of models statistically indistinguishable from the true model at a user-specified level of confidence, which extends the familiar notion of confidence intervals to the model-selection framework. Our approach guarantees asymptotically correct coverage probability of the true model when both sample size and model dimension increase. We derive conditions under which the MSCS contains all the relevant information about the true model structure. In addition, we propose natural statistics based on the MSCS to measure importance of variables in a principled way that accounts for the overall model uncertainty. When the space of feasible models is large, MSCS is implemented by an adaptive stochastic search algorithm which samples MSCS models with high probability. The MSCS methodology is illustrated through numerical experiments on synthetic and real data examples.

Original languageEnglish (US)
Pages (from-to)827-851
Number of pages25
JournalStatistica Sinica
Volume29
Issue number2
DOIs
StatePublished - Jan 1 2019

Keywords

  • Adaptive sampling
  • Likelihood ratio test
  • Model selection confidence set
  • Optimal detectability condition

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