Data Fission: Splitting a Single Data Point

• 成果类型: Article
• 署名作者: Leiner, James; Duan, Boyan; Wasserman, Larry; Ramdas, Aaditya
• 署名单位: Carnegie Mellon University; Alphabet Inc.; Google Incorporated
• 刊物名称: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
• ISSN/ISSBN: 0162-1459
• DOI: 10.1080/01621459.2023.2270748
• 发表日期: 2025
• 页码: 135-146
• 关键词: Post-selection Inference; False Discovery Rate; models

摘要

Suppose we observe a random vector X from some distribution in a known family with unknown parameters. We ask the following question: when is it possible to split X into two pieces f(X) and g(X) such that neither part is sufficient to reconstruct X by itself, but both together can recover X fully, and their joint distribution is tractable? One common solution to this problem when multiple samples of X are observed is data splitting, but Rasines and Young offers an alternative approach that uses additive Gaussian noise-this enables post-selection inference in finite samples for Gaussian distributed data and asymptotically when errors are non-Gaussian. In this article, we offer a more general methodology for achieving such a split in finite samples by borrowing ideas from Bayesian inference to yield a (frequentist) solution that can be viewed as a continuous analog of data splitting. We call our method data fission, as an alternative to data splitting, data carving and p-value masking. We exemplify the method on several prototypical applications, such as post-selection inference for trend filtering and other regression problems, and effect size estimation after interactive multiple testing. Supplementary materials for this article are available online.