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

DOI10.1214/009053606000000821zbMath1106.62029arXivmath/0702703OpenAlexW3102065143MaRDI QIDQ869984

Publication date: 12 March 2007

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

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

zbMATH Keywords

consistency thresholding model uncertainty uniform consistency pre-test estimator Akaike's information criterion AIC inference after model selection lower risk bound selection of regressors

Mathematics Subject Classification ID

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

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