Conditional predictive inference post model selection

DOI10.1214/08-AOS660zbMath1173.62026arXiv0908.3615OpenAlexW2079776777MaRDI QIDQ834366

Hannes Leeb

Publication date: 19 August 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0908.3615

zbMATH Keywords

approximately honest and short prediction intervalsconditional coverage probabilityfinite sample analysispredictive inference post model selectionregression with random design

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Inequalities; stochastic orderings (60E15) Nonparametric tolerance and confidence regions (62G15)

Related Items (12)

The relative effects of dimensionality and multiplicity of hypotheses on the \(F\)-test in linear regression ⋮ Unnamed Item ⋮ Optimal equivariant prediction for high-dimensional linear models with arbitrary predictor covariance ⋮ Forward-selected panel data approach for program evaluation ⋮ Quasi-Bayesian model selection ⋮ Ridge regression and asymptotic minimax estimation over spheres of growing dimension ⋮ Evaluation and selection of models for out-of-sample prediction when the sample size is small relative to the complexity of the data-generating process ⋮ The coverage properties of confidence regions after model selection ⋮ Post-model-selection prediction intervals for generalized linear models ⋮ Inference after variable selection using restricted permutation methods ⋮ On asymptotic risk of selecting models for possibly nonstationary time-series ⋮ Statistical Inference Enables Bad Science; Statistical Thinking Enables Good Science

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