Two sources of poor coverage of confidence intervals after model selection
Statistics Theory
2019-02-20 v1 Methodology
Statistics Theory
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.
Keywords
Cite
@article{arxiv.1711.01739,
title = {Two sources of poor coverage of confidence intervals after model selection},
author = {Paul Kabaila and Rheanna Mainzer},
journal= {arXiv preprint arXiv:1711.01739},
year = {2019}
}