Upper bounds on the minimum coverage probability of confidence intervals in regression after model selection

DOI10.1111/J.1467-842X.2009.00544.XzbMATH Open1334.62111arXiv0711.0993OpenAlexW2142732592MaRDI QIDQ2802733FDOQ2802733

Authors: Khageswor Giri, Paul Kabaila 

Publication date: 27 April 2016

Published in: Australian \& New Zealand Journal of Statistics (Search for Journal in Brave)

Abstract: We consider a linear regression model, with the parameter of interest a specified linear combination of the regression parameter vector. We suppose that, as a first step, a data-based model selection (e.g. by preliminary hypothesis tests or minimizing AIC) is used to select a model. It is common statistical practice to then construct a confidence interval for the parameter of interest based on the assumption that the selected model had been given to us a priori. This assumption is false and it can lead to a confidence interval with poor coverage properties. We provide an easily-computed finite sample upper bound (calculated by repeated numerical evaluation of a double integral) to the minimum coverage probability of this confidence interval. This bound applies for model selection by any of the following methods: minimum AIC, minimum BIC, maximum adjusted R-squared, minimum Mallows' Cp and t-tests. The importance of this upper bound is that it delineates general categories of design matrices and model selection procedures for which this confidence interval has poor coverage properties. This upper bound is shown to be a finite sample analogue of an earlier large sample upper bound due to Kabaila and Leeb.

Full work available at URL: https://arxiv.org/abs/0711.0993

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zbMATH Keywords

BICregressionAICMallows' criterion\(t\)-tests`best subset'adjusted \(R^{2}\)-statistic

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Linear regression; mixed models (62J05) Parametric tolerance and confidence regions (62F25)

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Cited In (18)

• Large-sample confidence intervals for the treatment difference in a two-period crossover trial, utilizing prior information
• The performance of a two-stage analysis of ABAB/BABA crossover trials
• Computation of the expected value of a function of a chi-distributed random variable
• Confidence intervals in regression that utilize uncertain prior information about a vector parameter
• Post-model-selection inference in linear regression models: an integrated review
• Two sources of poor coverage of confidence intervals after model selection
• A comparison of Bayesian and frequentist interval estimators in regression that utilize uncertain prior information
• Simultaneous Confidence Intervals for the Population Cell Means, for Two-by-Two Factorial Data, that Utilize Uncertain Prior Information
• The coverage probability of confidence intervals in one-way analysis of covariance after two F tests
• Upper bounds on the minimum coverage probability of confidence intervals in regression after model selection
• Model-averaged confidence intervals
• Model averaged tail area confidence intervals in nested linear regression models
• Finite sample properties of confidence intervals centered on a model averaged estimator
• Confidence intervals in regression utilizing prior information
• The coverage properties of confidence regions after model selection
• ON THE COVERAGE PROBABILITY OF CONFIDENCE INTERVALS IN REGRESSION AFTER VARIABLE SELECTION
• The minimum coverage probability of confidence intervals in regression after a preliminary \(F\) test
• On the Large-Sample Minimal Coverage Probability of Confidence Intervals After Model Selection

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