More Powerful and General Selective Inference for Stepwise Feature Selection using the Homotopy Continuation Approach
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Conditional Selective Inference (SI) has been actively studied as a new statistical inference framework for data-driven hypotheses. For example, conditional SI framework enables exact (non-asymptotic) inference on the features selected by stepwise feature selection (SFS) method. The basic idea of conditional SI is to make inference conditional on the selection event. The main limitation of existing conditional SI approach for SFS method is the loss of power due to over-conditioning for computational tractability. In this paper, we develop more powerful and general conditional SI method for SFS by resolving the over-conditioning issue by homotopy continuation approach. We conduct several experiments to demonstrate the effectiveness and efficiency of our proposed method.
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