Logo
Munich Personal RePEc Archive

Valid confidence intervals for post-model-selection predictors

Bachoc, Francois and Leeb, Hannes and Pötscher, Benedikt M. (2014): Valid confidence intervals for post-model-selection predictors.

Warning
There is a more recent version of this item available.
[thumbnail of MPRA_paper_60643.pdf]
Preview
PDF
MPRA_paper_60643.pdf

Download (369kB) | Preview

Abstract

We consider inference post-model-selection in linear regression. In this setting, Berk et al.(2013) recently introduced a class of confidence sets, the so-called PoSI intervals, that cover a certain non-standard quantity of interest with a user-specified minimal coverage probability, irrespective of the model selection procedure that is being used. In this paper, we generalize the PoSI intervals to post-model-selection predictors.

Available Versions of this Item

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.