Code to implement simulations and data analyses from "A perturbation method for inference on regularized regression estimates"
The functions in this code can be used to obtain confidence intervals for regression coefficients from certain regularized regression methods. Please see the article for reference.
Minnier, J., Tian, L. & Cai, T. (2011), "A perturbation method for inference on regularized regression estimates"", Journal of the American Statistical Association 106(496), 1371–1382.
To replicate the simulations, run the files:
1-run-ResampleALASSO-simulations.R 2-run-CompressResample-simulations.R 3-run-Summary-simulations.R
for various values of
paramnum to obtain different settings.
To replicate the data analysis, run the file:
Functions required to implement our methods can be found in the files:
The former provides functions to perform adaptive LASSO and perturbation of adaptive LASSO estimates. The latter provides functions to obtain various confidence intervals presented in the paper.
Code to implement simulations and data analyses from "A perturbation method for inference on regularized regression estimates" Copyright (C) 2010-2016 Jessica Minnier <minnier-at-ohsu.edu> This program is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation, either version 3 of the License, or (at your option) any later version. This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details. You should have received a copy of the GNU General Public License along with this program. If not, see <http://www.gnu.org/licenses/>.