The coverage properties of confidence regions after model selection

DOI10.1111/J.1751-5823.2009.00089.XMaRDI QIDQ6573845FDOQ6573845

Authors: Paul Kabaila 

Publication date: 17 July 2024

Published in: International Statistical Review (Search for Journal in Brave)

zbMATH Keywords

confidence intervalprediction intervaluncertain prior informationpreliminary model selection

Mathematics Subject Classification ID

Parametric inference (62Fxx) Linear inference, regression (62Jxx) Statistical decision theory (62Cxx)

Cites Work

• MODEL SELECTION AND INFERENCE: FACTS AND FICTION
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• Length of Confidence Intervals
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• Interval estimation via tail functions
• On the Large-Sample Minimal Coverage Probability of Confidence Intervals After Model Selection
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• The Little Bootstrap and Other Methods for Dimensionality Selection in Regression: X-Fixed Prediction Error
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• Improved invariant confidence intervals for a normal variance
• Numerical Specification of Discrete Least Favorable Prior Distributions
• Improved Confidence Intervals for the Variance of a Normal Distribution
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• Employing vague prior information in the construction of confidence sets
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• Interval estimation of scale parameters following a pre-test for two exponential distributions
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• Controlling risks under different loss functions: The compromise decision problem
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• Interval estimation of error variance following a preliminary test in one–way random model
• Conditional interval estimation of the exponential location parameter following rejection of a pre-test
• The coverage probability of confidence intervals in \(2^r\) factorial experiments after preliminary hypothesis testing

Cited In (5)

• Confidence intervals centred on bootstrap smoothed estimators: an impossibility result
• Post-averaging inference for optimal model averaging estimator in generalized linear models
• Confidence intervals in general regression models that utilize uncertain prior information
• A comparison of strategies for selecting auxiliary variables for multiple imputation
• On confidence intervals centred on bootstrap smoothed estimators

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