<div class="csl-bib-body">
<div class="csl-entry">Leeb, H., Pötscher, B. M., & Ewald, K. (2015). On Various Confidence Intervals Post-Model-Selection. <i>Statistical Science</i>, <i>30</i>(2), 216–227. https://doi.org/10.1214/14-sts507</div>
</div>
-
dc.identifier.issn
0883-4237
-
dc.identifier.uri
http://hdl.handle.net/20.500.12708/151436
-
dc.description.abstract
We compare several confidence intervals after model selection in the setting recently studied by Berk et al. [ Ann. Statist. 41 (2013) 802-837], where the goal is to cover not the true parameter but a certain nonstandard quantity of interest that depends on the selected model. In particular, we compare the PoSI-intervals that are proposed in that reference with the "naive" confidence interval, which is constructed as if the selected model were correct and fixed a priori (thus ignoring the presence of model selection). Overall, we find that the actual coverage probabilities of all these intervals deviate only moderately from the desired nominal coverage probability. This finding is in stark contrast to several papers in the existing literature, where the goal is to cover the true parameter.
en
dc.language.iso
en
-
dc.publisher
INST MATHEMATICAL STATISTICS-IMS
-
dc.relation.ispartof
Statistical Science
-
dc.subject
General Mathematics
-
dc.subject
Statistics and Probability
-
dc.subject
Statistics, Probability and Uncertainty
-
dc.subject
Ewald
-
dc.subject
Post-Model-Selection
-
dc.subject
Leeb
-
dc.subject
Pötscher
-
dc.subject
Statistical Science
-
dc.title
On Various Confidence Intervals Post-Model-Selection
en
dc.type
Artikel
de
dc.type
Article
en
dc.description.startpage
216
-
dc.description.endpage
227
-
dc.type.category
Original Research Article
-
tuw.container.volume
30
-
tuw.container.issue
2
-
tuw.journal.peerreviewed
true
-
tuw.peerreviewed
true
-
tuw.researchTopic.id
X1
-
tuw.researchTopic.name
außerhalb der gesamtuniversitären Forschungsschwerpunkte
-
tuw.researchTopic.value
100
-
dcterms.isPartOf.title
Statistical Science
-
tuw.publication.orgunit
E105-02 - Forschungsbereich Ökonometrie und Systemtheorie
-
tuw.publisher.doi
10.1214/14-sts507
-
dc.identifier.eissn
2168-8745
-
dc.description.numberOfPages
12
-
wb.sci
true
-
wb.sciencebranch
Mathematik
-
wb.sciencebranch.oefos
1010
-
wb.facultyfocus
Wirtschaftsmathematik und Stochastik
de
wb.facultyfocus
Mathematical Methods in Economics and Stochastics
en
wb.facultyfocus.faculty
E100
-
item.openairetype
Artikel
-
item.openairetype
Article
-
item.cerifentitytype
Publications
-
item.cerifentitytype
Publications
-
item.languageiso639-1
en
-
item.grantfulltext
none
-
item.openairecristype
http://purl.org/coar/resource_type/c_18cf
-
item.openairecristype
http://purl.org/coar/resource_type/c_18cf
-
item.fulltext
no Fulltext
-
crisitem.author.dept
E105 - Institut für Stochastik und Wirtschaftsmathematik