On various confidence intervals post-model-selection
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Abstract: We compare several confidence intervals after model selection in the setting recently studied by Berk et al. [Ann. Statist. 41 (2013) 802-837], where the goal is to cover not the true parameter but a certain nonstandard quantity of interest that depends on the selected model. In particular, we compare the PoSI-intervals that are proposed in that reference with the "naive" confidence interval, which is constructed as if the selected model were correct and fixed a priori (thus ignoring the presence of model selection). Overall, we find that the actual coverage probabilities of all these intervals deviate only moderately from the desired nominal coverage probability. This finding is in stark contrast to several papers in the existing literature, where the goal is to cover the true parameter.
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Cited in
(24)- In defense of the indefensible: a very naïve approach to high-dimensional inference
- Optimal EMG placement for a robotic prosthesis controller with sequential, adaptive functional estimation (SAFE)
- Bootstrapping multiple linear regression after variable selection
- Confidence intervals for high-dimensional partially linear single-index models
- Targeted Inference Involving High-Dimensional Data Using Nuisance Penalized Regression
- Survival analysis of DNA mutation motifs with penalized proportional hazards
- On the Large-Sample Minimal Coverage Probability of Confidence Intervals After Model Selection
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- Mixture of Linear Models Co-supervised by Deep Neural Networks
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- Statistical proof? The problem of irreproducibility
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