Conditional predictive inference post model selection

DOI10.1214/08-AOS660zbMath1173.62026arXiv0908.3615OpenAlexW2079776777MaRDI QIDQ834366

Hannes Leeb

Publication date: 19 August 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0908.3615

zbMATH Keywords

approximately honest and short prediction intervalsconditional coverage probabilityfinite sample analysispredictive inference post model selectionregression with random design

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Inequalities; stochastic orderings (60E15) Nonparametric tolerance and confidence regions (62G15)

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