The distribution of a linear predictor after model selection: conditional finite-sample distributions and asymptotic approximations

DOI10.1016/j.jspi.2004.04.005zbMath1066.62071MaRDI QIDQ2485973

Hannes Leeb

Publication date: 5 August 2005

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

Full work available at URL: https://doi.org/10.1016/j.jspi.2004.04.005

zbMATH Keywords

Model selection; Model uncertainty; Distribution of post-model-selection estimators; Inference after model selection; Linear predictor constructed after model selection; Pre-test estimator

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62E20: Asymptotic distribution theory in statistics

62J05: Linear regression; mixed models

62F10: Point estimation

62E15: Exact distribution theory in statistics

Related Items

PREDICTION/ESTIMATION WITH SIMPLE LINEAR MODELS: IS IT REALLY THAT SIMPLE?, Preliminary test and estimation in some multifactor diffusion processes, Conditional predictive inference post model selection, Can one estimate the conditional distribution of post-model-selection estimators?, On the impact of model selection on predictor identification and parameter inference, CAN ONE ESTIMATE THE UNCONDITIONAL DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS?, Inference after variable selection using restricted permutation methods

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Asymptotic properties of maximum likelihood estimators based on conditional specification
• The distribution of estimators after model selection:large and small sample results
• THE FINITE-SAMPLE DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS AND UNIFORM VERSUS NONUNIFORM APPROXIMATIONS
• On the Large-Sample Minimal Coverage Probability of Confidence Intervals After Model Selection