Exact Selective Inference with Randomization

12/25/2022

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by   Snigdha Panigrahi, et al.

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We introduce a pivot for exact selective inference with randomization. Not only does our pivot lead to exact inference in Gaussian regression models, but it is also available in closed form. We reduce the problem of exact selective inference to a bivariate truncated Gaussian distribution. By doing so, we give up some power that is achieved with approximate inference in Panigrahi and Taylor (2022). Yet we always produce narrower confidence intervals than a closely related data-splitting procedure. For popular instances of Gaussian regression, this price – in terms of power – in exchange for exact selective inference is demonstrated in simulated experiments and in an HIV drug resistance analysis.