Can one estimate the conditional distribution of post-model-selection estimators?

DOI10.1214/009053606000000821zbMATH Open1106.62029arXivmath/0702703OpenAlexW3102065143MaRDI QIDQ869984FDOQ869984

Authors: Hannes Leeb, Benedikt M. Pötscher 

Publication date: 12 March 2007

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

Abstract: We consider the problem of estimating the conditional distribution of a post-model-selection estimator where the conditioning is on the selected model. The notion of a post-model-selection estimator here refers to the combined procedure resulting from first selecting a model (e.g., by a model selection criterion such as AIC or by a hypothesis testing procedure) and then estimating the parameters in the selected model (e.g., by least-squares or maximum likelihood), all based on the same data set. We show that it is impossible to estimate this distribution with reasonable accuracy even asymptotically. In particular, we show that no estimator for this distribution can be uniformly consistent (not even locally). This follows as a corollary to (local) minimax lower bounds on the performance of estimators for this distribution. Similar impossibility results are also obtained for the conditional distribution of linear functions (e.g., predictors) of the post-model-selection estimator.

Full work available at URL: https://arxiv.org/abs/math/0702703

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zbMATH Keywords

consistencymodel uncertaintythresholdinguniform consistencypre-test estimatorAkaike's information criterion AICinference after model selectionlower risk boundselection of regressors

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07) Statistical decision theory (62C99)

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Cited In (60)

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• Model selection and model averaging after multiple imputation
• Meta-analytic Gaussian network aggregation
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• Valid post-selection inference
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• Conditional selective inference for robust regression and outlier detection using piecewise-linear homotopy continuation
• Approximating data

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