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

DOI10.1111/ANZS.12039zbMATH Open1336.62100arXiv1201.3702OpenAlexW2963982707MaRDI QIDQ2802844FDOQ2802844

Paul Kabaila, Oguzhan Yilmaz, Waruni Abeysekera

Publication date: 27 April 2016

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

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.

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

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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)

Cites Work

• Upper bounds on the minimum coverage probability of confidence intervals in regression after model selection
• Two Notes on Notation
• Title not available (Why is that?)
• The minimum coverage probability of confidence intervals in regression after a preliminary \(F\) test
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Cited In (2)

• Confidence intervals in regression that utilize uncertain prior information about a vector parameter
• The minimum coverage probability of confidence intervals in regression after a preliminary \(F\) test

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