Inspired by sample splitting and the reusable holdout introduced in the field of differential privacy, we consider selective inference with a randomized response. We discuss two major advantages of using a randomized response for model selection. First, the selectively valid tests are more powerful after randomized selection. Second, it allows consistent estimation and weak convergence of selective inference procedures. Under independent sampling, we prove a selective (or privatized) central limit theorem that transfers procedures valid under asymptotic normality without selection to their corresponding selective counterparts. This allows selective inference in nonparametric settings. Finally, we propose a framework of inference after combining multiple randomized selection procedures. We focus on the classical asymptotic setting, leaving the interesting high-dimensional asymptotic questions for future work.
Our problem is to find a good approximation to the P-value of the maximum of a random field of test statistics for a cone alternative at each point in a sample of Gaussian random fields. These test statistics have been proposed in the neuroscience literature for the analysis of fMRI data allowing for unknown delay in the hemodynamic response. However the null distribution of the maximum of this 3D random field of test statistics, and hence the threshold used to detect brain activation, was unsolved. To find a solution, we approximate the P-value by the expected Euler characteristic (EC) of the excursion set of the test statistic random field. Our main result is the required EC density, derived using the Gaussian Kinematic Formula.
