Two sources of poor coverage of confidence intervals after model selection

DOI10.1016/J.SPL.2018.05.001zbMATH Open1392.62080arXiv1711.01739OpenAlexW2767261923WikidataQ129814996 ScholiaQ129814996MaRDI QIDQ1644205FDOQ1644205

Authors: Rheanna Mainzer, Paul Kabaila 

Publication date: 21 June 2018

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: We compare the following two sources of poor coverage of post-model-selection confidence intervals: the preliminary data-based model selection sometimes chooses the wrong model and the data used to choose the model is re-used for the construction of the confidence interval.

Full work available at URL: https://arxiv.org/abs/1711.01739

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zbMATH Keywords

model selectionconfidence intervalcoverage probability

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25)

Cites Work

• MODEL SELECTION AND INFERENCE: FACTS AND FICTION
• Model Selection: An Integral Part of Inference
• Title not available (Why is that?)
• Estimation and accuracy after model selection
• Model-averaged Wald confidence intervals
• Upper bounds on the minimum coverage probability of confidence intervals in regression after model selection
• Frequentist Model Average Estimators
• Title not available (Why is that?)
• Model-averaged profile likelihood intervals
• On the minimum coverage probability of model averaged tail area confidence intervals
• Model-averaged confidence intervals
• Further properties of frequentist confidence intervals in regression that utilize uncertain prior information
• The performance of model averaged tail area confidence intervals

Cited In (4)

• On various confidence intervals post-model-selection
• Upper bounds on the minimum coverage probability of confidence intervals in regression after model selection
• THE EFFECT OF A PRELIMINARY HAUSMAN TEST ON CONFIDENCE INTERVALS
• On the Large-Sample Minimal Coverage Probability of Confidence Intervals After Model Selection

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