Valid confidence intervals for post-model-selection predictors (Q2414094)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Valid confidence intervals for post-model-selection predictors |
scientific article |
Statements
Valid confidence intervals for post-model-selection predictors (English)
0 references
10 May 2019
0 references
This paper proposes confidence intervals for post-model-selection predictors in a regression framework. The confidence intervals are constructed in a similar way to the PoSI intervals, and intend to cover the quantity of interest with a use-specified minimal coverage probability, irrespective of the model selection procedure. The quantity of interest is, basically, a projection of the expected value of the dependent variable on the space spanned by the regressors included in the selected model. The validity of the confidence levels is established under different conditions in the paper. The increase in width due to the intervals being obtained by maximizing over all inactive variables is show to be small in simulations and asymptotically. The simulations include model selection employing AIC, BIC, LASSO, SCAD and MCP.
0 references
inference post-model-selection
0 references
confidence intervals
0 references
optimal post-model-selection predictors
0 references
nonstandard targets
0 references
linear regression
0 references