The distribution of a linear predictor after model selection: conditional finite-sample distributions and asymptotic approximations

DOI10.1016/j.jspi.2004.04.005zbMath1066.62071OpenAlexW2065568197MaRDI QIDQ2485973

Hannes Leeb

Publication date: 5 August 2005

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2004.04.005

zbMATH Keywords

Model selectionModel uncertaintyDistribution of post-model-selection estimatorsInference after model selectionLinear predictor constructed after model selectionPre-test estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Point estimation (62F10) Exact distribution theory in statistics (62E15)

Related Items

On the impact of model selection on predictor identification and parameter inference, Conditional predictive inference post model selection, PREDICTION/ESTIMATION WITH SIMPLE LINEAR MODELS: IS IT REALLY THAT SIMPLE?, Can one estimate the conditional distribution of post-model-selection estimators?, Preliminary test and estimation in some multifactor diffusion processes, CAN ONE ESTIMATE THE UNCONDITIONAL DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS?, Inference after variable selection using restricted permutation methods

Cites Work

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• Asymptotic properties of maximum likelihood estimators based on conditional specification
• The distribution of estimators after model selection:large and small sample results
• THE FINITE-SAMPLE DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS AND UNIFORM VERSUS NONUNIFORM APPROXIMATIONS
• On the Large-Sample Minimal Coverage Probability of Confidence Intervals After Model Selection