On the minimum coverage probability of model averaged tail area confidence intervals

DOI10.1002/CJS.11349MaRDI QIDQ4960918zbMATH OpenOpenAlexFDO

Authors Paul Kabaila

Publication date 24 April 2020

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1702.05189

zbMATH Keywords

MATA confidence intervalminimum coverage probabilitymodel averaged confidence intervals

Mathematics Subject Classification ID

Nonparametric tolerance and confidence regions (62G15) Linear regression; mixed models (62J05) Applications of statistics to environmental and related topics (62P12)

Abstract: Frequentist model averaging has been proposed as a method for incorporating "model uncertainty" into confidence interval construction. Such proposals have been of particular interest in the environmental and ecological statistics communities. A promising method of this type is the model averaged tail area (MATA) confidence interval put forward by Turek and Fletcher, 2012. The performance of this interval depends greatly on the data-based model weights on which it is based. A computationally convenient formula for the coverage probability of this interval is provided by Kabaila, Welsh and Abeysekera, 2016, in the simple scenario of two nested linear regression models. We consider the more complicated scenario that there are many (32,768 in the example considered) linear regression models obtained as follows. For each of a specified set of components of the regression parameter vector, we either set the component to zero or let it vary freely. We provide an easily-computed upper bound on the minimum coverage probability of the MATA confidence interval. This upper bound provides evidence against the use of a model weight based on the Bayesian Information Criterion (BIC).

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(13)

• Model-averaged Wald confidence intervals
• Two sources of poor coverage of confidence intervals after model selection
• Comparison of the frequentist MATA confidence interval with Bayesian model-averaged confidence intervals
• Computation of the expected value of a function of a chi-distributed random variable
• Frequentist model averaging in structure equation model with ordinal data
• Finite sample properties of confidence intervals centered on a model averaged estimator
• Exact model averaged tail area confidence intervals
• The performance of model averaged tail area confidence intervals
• An alternative to confidence intervals constructed after a Hausman pretest in panel data
• Model averaged tail area confidence intervals in nested linear regression models
• Confidence intervals centred on bootstrap smoothed estimators: an impossibility result
• Confidence intervals in general regression models that utilize uncertain prior information
• The minimum coverage probability of confidence intervals in regression after a preliminary \(F\) test

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