Two sources of poor coverage of confidence intervals after model selection

DOI10.1016/J.SPL.2018.05.001MaRDI QIDQ1644205zbMATH OpenOpenAlexWikidataFDO

Authors Rheanna Mainzer, Paul Kabaila

Publication date 21 June 2018

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1711.01739

zbMATH Keywords

model selectionconfidence intervalcoverage probability

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25)

Abstract: We compare the following two sources of poor coverage of post-model-selection confidence intervals: the preliminary data-based model selection sometimes chooses the wrong model and the data used to choose the model is re-used for the construction of the confidence interval.

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Cited in

(4)

• On various confidence intervals post-model-selection
• Upper bounds on the minimum coverage probability of confidence intervals in regression after model selection
• THE EFFECT OF A PRELIMINARY HAUSMAN TEST ON CONFIDENCE INTERVALS
• On the Large-Sample Minimal Coverage Probability of Confidence Intervals After Model Selection

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