Finite sample properties of confidence intervals centered on a model averaged estimator

DOI10.1016/J.JSPI.2019.10.004MaRDI QIDQ2301097zbMATH OpenOpenAlexWikidataFDO

Authors Alan H. Welsh, Christeen Wijethunga, Paul Kabaila

Publication date 28 February 2020

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1906.07933

zbMATH Keywords

coveragemodel averaged confidence intervalscaled expected length

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Parametric tolerance and confidence regions (62F25)

Abstract: We consider the confidence interval centered on a frequentist model averaged estimator that was proposed by Buckland, Burnham & Augustin (1997). In the context of a simple testbed situation involving two linear regression models, we derive exact expressions for the confidence interval and then for the coverage and scaled expected length of the confidence interval. We use these measures to explore the exact finite sample performance of the Buckland-Burnham-Augustin confidence interval. We also explore the limiting asymptotic case (as the residual degrees of freedom increases) and compare our results for this case to those obtained for the asymptotic coverage of the confidence interval by Hjort & Claeskens (2003).

Recommendations

• Model-averaged confidence intervals
• Model-averaged Wald confidence intervals
• Interval estimation by frequentist model averaging
• Exact model averaged tail area confidence intervals
• The performance of model averaged tail area confidence intervals

Cites work

• scientific article; zbMATH DE number 3578234 (Why is no real title available?)
• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
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Cited in

(9)

• Exact model averaged tail area confidence intervals
• Confidence intervals centred on bootstrap smoothed estimators: an impossibility result
• Interval estimation by frequentist model averaging
• Confidence intervals in general regression models that utilize uncertain prior information
• Model-averaged profile likelihood intervals
• Model-averaged confidence intervals
• Model averaged tail area confidence intervals in nested linear regression models
• Model-averaged Wald confidence intervals
• The performance of model averaged tail area confidence intervals

Describes a project that uses

Uses Software

• MAMI
• MuMIn
• AICcmodavg
• Glmulti
• R

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