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

DOI10.1016/J.JSPI.2004.04.005zbMATH Open1066.62071OpenAlexW2065568197MaRDI QIDQ2485973FDOQ2485973

Authors: 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

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zbMATH Keywords

Model selectionModel uncertaintyDistribution of post-model-selection estimatorsInference after model selectionLinear predictor constructed after model selectionPre-test estimator

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Asymptotic distribution theory in statistics (62E20)

Cites Work

• On the Large-Sample Minimal Coverage Probability of Confidence Intervals After Model Selection
• THE FINITE-SAMPLE DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS AND UNIFORM VERSUS NONUNIFORM APPROXIMATIONS
• The distribution of a linear predictor after model selection: unconditional finite-sample distributions and asymptotic approximations
• Asymptotic properties of maximum likelihood estimators based on conditional specification
• Title not available (Why is that?)
• Title not available (Why is that?)
• The distribution of estimators after model selection:large and small sample results

Cited In (9)

• Inference after variable selection using restricted permutation methods
• The distribution of a linear predictor after model selection: unconditional finite-sample distributions and asymptotic approximations
• On the impact of model selection on predictor identification and parameter inference
• Conditional predictive inference post model selection
• CAN ONE ESTIMATE THE UNCONDITIONAL DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS?
• Prediction/estimation with simple linear models: is it really that simple?
• Preliminary test and estimation in some multifactor diffusion processes
• THE FINITE-SAMPLE DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS AND UNIFORM VERSUS NONUNIFORM APPROXIMATIONS
• Can one estimate the conditional distribution of post-model-selection estimators?

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