Multiple Testing and Variable Selection along the path of the Least Angle Regression (1906.12072v5)

Abstract: We investigate multiple testing and variable selection using the Least Angle Regression (LARS) algorithm in high dimensions under the assumption of Gaussian noise. LARS is known to produce a piecewise affine solution path with change points referred to as the knots of the LARS path. The key to our results is an expression in closed form of the exact joint law of a $K$-tuple of knots conditional on the variables selected by LARS, namely the so-called post-selection joint law of the LARS knots. Numerical experiments demonstrate the perfect fit of our findings. This paper makes three main contributions. First, we build testing procedures on variables entering the model along the LARS path in the general design case when the noise level can be unknown. These testing procedures are referred to as the Generalized $t$-Spacing tests (GtSt) and we prove that they have an exact non-asymptotic level (i.e., the Type I error is exactly controlled). This extends work of (Taylor et al., 2014) where the spacing test works for consecutive knots and known variance. Second, we introduce a new exact multiple false negatives test after model selection in the general design case when the noise level may be unknown. We prove that this testing procedure has exact non-asymptotic level for general design and unknown noise level. Third, we give an exact control of the false discovery rate under orthogonal design assumption. Monte Carlo simulations and a real data experiment are provided to illustrate our results in this case. Of independent interest, we introduce an equivalent formulation of the LARS algorithm based on a recursive function.