Conditional predictive inference post model selection
نویسندگان
چکیده
منابع مشابه
Predictive Inference Post Model
We give a finite-sample analysis of predictive inference procedures after model selection in regression with random design. The analysis is focused on a statistically challenging scenario where the number of potentially important explanatory variables can be infinite, where no regularity conditions are imposed on unknown parameters, where the number of explanatory variables in a “good” model ca...
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It is common practice in statistical data analysis to perform datadriven variable selection and derive statistical inference from the resulting model. Such inference enjoys none of the guarantees that classical statistical theory provides for tests and confidence intervals when the model has been chosen a priori. We propose to produce valid “post-selection inference” by reducing the problem to ...
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It is common practice in statistical data analysis to perform data-driven variable selection and derive statistical inference from the resulting model. Such inference enjoys none of the guarantees that classical statistical theory provides for tests and confidence intervals when the model has been chosen a priori. We propose to produce valid “post-selection inference” by reducing the problem to...
متن کاملPost - Selection Inference Online Appendix
B.1 The Full Model Interpretation of Parameters. In the full model interpretation, coefficients always have the fixed meaning as full model parameters. Variable selection then means setting some coefficient estimates to zero, and these estimates always exist for all predictors, irrespective of whether they are selected or deselected. The full model interpretation of parameters is appropriate, f...
متن کاملPOST - SELECTION INFERENCE By Richard
It is common practice in statistical data analysis to perform datadriven variable selection and derive statistical inference from the resulting model. Such inference enjoys none of the guarantees that classical statistical theory provides for tests and confidence intervals when the model has been chosen a priori. We propose to produce valid “post-selection inference” by reducing the problem to ...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2009
ISSN: 0090-5364
DOI: 10.1214/08-aos660