相关论文: Upper bounds on the minimum coverage probability o…

Classical confidence intervals after best subset selection are widely implemented in statistical software and are routinely used to guide practitioners in scientific fields to conclude significance. However, there are increasing concerns in…

Frequentist model averaging has been proposed as a method for incorporating "model uncertainty" into confidence interval construction. Such proposals have been of particular interest in the environmental and ecological statistics…

We derive a computationally convenient formula for the large sample coverage probability of a confidence interval for a scalar parameter of interest following a preliminary hypothesis test that a specified vector parameter takes a given…

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…

Conformal Prediction methods have finite-sample distribution-free marginal coverage guarantees. However, they generally do not offer conditional coverage guarantees, which can be important for high-stakes decisions. In this paper, we…

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…

For regression model selection via maximum likelihood estimation, we adopt a vector representation of candidate models and study the likelihood ratio confidence region for the regression parameter vector of a full model. We show that when…

Consider a linear regression model with regression parameter beta=(beta_1,..., beta_p) and independent normal errors. Suppose the parameter of interest is theta = a^T beta, where a is specified. Define the s-dimensional parameter vector tau…

We suggest general methods to construct asymptotically uniformly valid confidence intervals post-model-selection. The constructions are based on principles recently proposed by Berk et al. (2013). In particular the candidate models used can…

The purpose of this paper is to propose methodologies for statistical inference of low-dimensional parameters with high-dimensional data. We focus on constructing confidence intervals for individual coefficients and linear combinations of…

In machine learning, the selection of a promising model from a potentially large number of competing models and the assessment of its generalization performance are critical tasks that need careful consideration. Typically, model selection…

Statistical analyses of multipopulation studies often use the data to select a particular population as the target of inference. For example, a confidence interval may be constructed for a population only in the event that its sample mean…

It is in general challenging to provide confidence intervals for individual variables in high-dimensional regression without making strict or unverifiable assumptions on the design matrix. We show here that a "group-bound" confidence…

In this article, we introduce the concept of model confidence bounds (MCB) for variable selection in the context of nested models. Similarly to the endpoints in the familiar confidence interval for parameter estimation, the MCB identifies…

While the Bayesian Information Criterion (BIC) and Akaike Information Criterion (AIC) are powerful tools for model selection in linear regression, they are built on different prior assumptions and thereby apply to different data generation…

Consider a linear regression model with independent and identically normally distributed random errors. Suppose that the parameter of interest is a specified linear combination of the regression parameters. We prove that the usual…

We consider a linear regression model with regression parameter beta =(beta_1, ..., beta_p) and independent and identically N(0, sigma^2)distributed errors. Suppose that the parameter of interest is theta = a^T beta where a is a specified…

For the last two decades, high-dimensional data and methods have proliferated throughout the literature. Yet, the classical technique of linear regression has not lost its usefulness in applications. In fact, many high-dimensional…

The paper considers model selection in regression under the additional structural constraints on admissible models where the number of potential predictors might be even larger than the available sample size. We develop a Bayesian formalism…

Confidence interval procedures used in low dimensional settings are often inappropriate for high dimensional applications. When a large number of parameters are estimated, marginal confidence intervals associated with the most significant…