ARE DISCOVERIES SPURIOUS? DISTRIBUTIONS OF MAXIMUM SPURIOUS CORRELATIONS AND THEIR APPLICATIONS

Fan, JQ; Shao, QM; Zhou, WX

Fan, JQ (reprint author), Fudan Univ, Sch Data Sci, Shanghai 200433, Peoples R China.; Fan, JQ (reprint author), Princeton Univ, Dept Operat Res & Financial Engn, Princeton, NJ 08544 USA.

ANNALS OF STATISTICS, 2018; 46 (3): 989

Abstract

Over the last two decades, many exciting variable selection methods have been developed for finding a small group of covariates that are associated wi......

Full Text Link