The coverage probability of confidence intervals in one-way analysis of covariance after two F tests

DOI10.1111/ANZS.12039MaRDI QIDQ2802844zbMATH OpenOpenAlexFDO

Authors Waruni Abeysekera, Oguzhan Yilmaz, Paul Kabaila

Publication date 27 April 2016

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

Full work available at URL https://arxiv.org/abs/1201.3702

zbMATH Keywords

preliminary hypothesis testinference after model selection

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Analysis of variance and covariance (ANOVA) (62J10)

Abstract: Consider a one-way analysis of covariance model. Suppose that the parameter of interest theta is a specified linear contrast of the expected responses, for a given value of the covariate. Also suppose that the inference of interest is a 1-alpha confidence interval for theta. The following two-stage procedure has been proposed to determine the form of the model. In Stage 1, we carry out an F test of the null hypothesis that the slopes are all zero against the alternative hypothesis that they are not all zero. If this null hypothesis is accepted then we assume that the slopes are all zero; otherwise we proceed to Stage 2. In Stage 2, we carry out an F test of the null hypothesis that the slopes are all equal against the alternative hypothesis that they are not all equal. If this null hypothesis is accepted then we assume that the slopes are all equal; otherwise this assumption is not made. We present a general methodology for the examination of the effect of this two-stage model selection procedure on the coverage probability of a subsequently-constructed confidence interval for theta, with nominal coverage 1-alpha. This methodology is applied to a numerical example for which it is shown that this confidence interval is completely inadequate.

Recommendations

• 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
• Some comments on a class of simultaneous inference procedures in ancova
• ON THE COVERAGE PROBABILITY OF CONFIDENCE INTERVALS IN REGRESSION AFTER VARIABLE SELECTION
• Upper bounds on the minimum coverage probability of confidence intervals in regression after model selection

Cites work

• scientific article; zbMATH DE number 524748 (Why is no real title available?)
• scientific article; zbMATH DE number 1907200 (Why is no real title available?)
• The minimum coverage probability of confidence intervals in regression after a preliminary \(F\) test
• Two Notes on Notation
• Upper bounds on the minimum coverage probability of confidence intervals in regression after model selection

Cited in

(1)

• The minimum coverage probability of confidence intervals in regression after a preliminary \(F\) test

This page was built for publication: The coverage probability of confidence intervals in one-way analysis of covariance after two F tests

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2802844)