Uniformly valid confidence intervals post-model-selection

DOI10.1214/19-AOS1815zbMath1466.62263arXiv1611.01043MaRDI QIDQ2176628

Lukas Steinberger, David Preinerstorfer, François Bachoc

Publication date: 5 May 2020

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

Full work available at URL: https://arxiv.org/abs/1611.01043

zbMATH Keywords

regression; inference post-model-selection; uniform asymptotic inference

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62F25: Parametric tolerance and confidence regions

62F35: Robustness and adaptive procedures (parametric inference)

62J02: General nonlinear regression

62F07: Statistical ranking and selection procedures

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Assumption Lean Regression, Bounds in \(L^1\) Wasserstein distance on the normal approximation of general M-estimators, Lasso Inference for High-Dimensional Time Series, Simultaneous high-probability bounds on the false discovery proportion in structured, regression and online settings, Post-model-selection inference in linear regression models: an integrated review, Uniformly valid confidence intervals post-model-selection, Asymptotic properties of the maximum likelihood and cross validation estimators for transformed Gaussian processes, Post hoc confidence bounds on false positives using reference families, Valid post-selection inference in model-free linear regression, Bootstrapping and sample splitting for high-dimensional, assumption-lean inference, Optimal finite sample post-selection confidence distributions in generalized linear models

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