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stat.ME2023
Uncertainty Intervals for Prediction Errors in Time Series Forecasting
Hui Xu, Song Mei, Stephen Bates +2
Inference for prediction errors is critical in time series forecasting pipelines. However, providing statistically meaningful uncertainty intervals for prediction errors remains re…
stat.ME2016★ 3 cited
Post-selection inference for L1-penalized likelihood models
Jonathan Taylor, Robert Tibshirani
We present a new method for post-selection inference for L1 (lasso)-penalized likelihood models, including generalized regression models. Our approach generalizes the post-selectio…