R-software

R software for selective inference.
Authors: Ryan Tibshirani, Rob Tibshirani, Jonathan Taylor, Joshua Loftus, Stephen Reid, Jelena Markovic
Maintainer: Rob Tibshirani tibs@stanford.edu

New tools for inference after selection, for use with forward stepwise regression, least angle regression, the lasso, and the many means problem. The package is available on CRAN. See this paper for a high level introduction to selective inference.

Code is in the directory selectiveInference/R.

• funs.common.R: Basic functions used by many other functions, such as standardization.
• funs.fixed.R: Inference for LASSO at a fixed, deterministic value of lambda.
• funs.fs.R: Inference for forward stepwise.
• funs.groupfs.R: Inference for forward stepwise with groups of variables, e.g. factors.
• funs.inf.R: Common functions for inference with fixed, fs, lar, and manymeans (but not group).
• funs.lar.R: Inference for least angle regression.
• funs.max.R: Some numerical approximations. Deprecated?

Installation

The latest release of the package can be installed through CRAN:

install.packages("selectiveInference")

Code in repo is under development and may be unstable.

For development

As the C code is shared between python and R, it is in a git submodule. Current version can be grabbed with

git submodule init
git submodule update

To install

make install

To test

make check

These tests are also run on travis based on .travis.yml setup.