Exact adaptive confidence intervals for linear regression coefficients

DOI10.1214/18-EJS1517zbMATH Open1461.62124OpenAlexW2618114571MaRDI QIDQ131754FDOQ131754

Authors Peter Hoff, Chaoyu Yu, Chaoyu Yu, Peter D. Hoff 

Publication date 1 January 2019

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1705.08331

zbMATH Keywords

ridge regressionshrinkagesparsityempirical Bayesadaptive confidence interval procedureBayes-optimalfrequentist coveragespending functionuniformly most accurate unbiased confidence interval procedure

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Nonparametric tolerance and confidence regions (62G15) Ridge regression; shrinkage estimators (Lasso) (62J07)

Abstract: We propose an adaptive confidence interval procedure (CIP) for the coefficients in the normal linear regression model. This procedure has a frequentist coverage rate that is constant as a function of the model parameters, yet provides smaller intervals than the usual interval procedure, on average across regression coefficients. The proposed procedure is obtained by defining a class of CIPs that all have exact $1-alpha$ frequentist coverage, and then selecting from this class the procedure that minimizes a prior expected interval width. Such a procedure may be described as "frequentist, assisted by Bayes" or FAB. We describe an adaptive approach for estimating the prior distribution from the data so that exact non-asymptotic $1-alpha$ coverage is maintained. Additionally, in a "$p$ growing with $n$" asymptotic scenario, this adaptive FAB procedure is asymptotically Bayes-optimal among $1-alpha$ frequentist CIPs.

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Cited in

(15)

• Confidence intervals in general regression models that utilize uncertain prior information
• On Yu and Hoff's confidence intervals for treatment means
• Confidence intervals for high-dimensional linear regression: minimax rates and adaptivity
• Admissible and optimal confidence bands in simple linear regression
• Using adaptive weighted least squares to reduce the lengths of confidence intervals
• Smaller $p$-values via indirect information
• Cultural consensus theory for the evaluation of patients' mental health scores in forensic psychiatric hospitals
• Testing Sparsity-Inducing Penalties
• Constructing narrower confidence intervals by inverting adaptive tests
• Tests of linear hypotheses using indirect information
• LIC criterion for optimal subset selection in distributed interval estimation
• fabCI
• FABInference
• Admissibility of the usual confidence interval in linear regression
• Bayes-optimal prediction with frequentist coverage control

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