Exact adaptive confidence intervals for linear regression coefficients

DOI10.1214/18-ejs1517zbMath1461.62124arXiv1705.08331OpenAlexW2618114571MaRDI QIDQ131754

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

empirical Bayesridge regressionshrinkagesparsityspending functionfrequentist coverageadaptive confidence interval procedureBayes-optimaluniformly most accurate unbiased confidence interval procedure

Mathematics Subject Classification ID

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

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