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Update selective inference intro
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gaow committed Jul 11, 2019
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# Selective inference for a toy example

Here we investigate "selective inference" in the toy example of [Wang et al (2018)][wang-2018].
Here we investigate "selective inference" in the toy example of [Wang et al (2018)](https://www.biorxiv.org/content/10.1101/501114v1). We show that the approach will sometimes select the wrong variables -- which is inevitable in cases where variables are perfectly correlated -- and then assign them highly significant $p$ values. This is because even though the wrong variables are selected, their coefficients within the wrong model can be estimated precisely.


```{r knitr-opts, include=FALSE}
knitr::opts_chunk$set(comment = "#",collapse = TRUE,results = "hold")
```

## Load packages

First, load the [selective inference][selectiveInference] package.
First, load the [selective inference](https://cran.r-project.org/package=selectiveInference) package.

```{r load-pkgs, warning=FALSE, message=FALSE}
library(selectiveInference)
Expand Down Expand Up @@ -75,8 +76,4 @@ Put another way, selective inference is not trying to assess
uncertainty in which variables should be selected, and is certainly
not trying to produce inferences of the form $$(b_1 \neq 0 \text{ OR }
b_2 \neq 0) \text{ AND } (b_3 \neq 0 \text{ OR } b_4 \neq 0),$$ which
was the goal of [Wang et al (2018)][wang-2018].

[wang-2018]: https://www.biorxiv.org/content/10.1101/501114v1
[selectiveInference]: https://cran.r-project.org/package=selectiveInference

was the goal of [Wang et al (2018)](https://www.biorxiv.org/content/10.1101/501114v1).

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