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- Ankargren, Sebastian, et al.
(författare)
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On the least-squares model averaging interval estimator
- 2018
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Ingår i: Communications in Statistics - Theory and Methods. - : Informa UK Limited. - 0361-0926 .- 1532-415X. ; 47:1, s. 118-132
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Tidskriftsartikel (refereegranskat)abstract
- In many applications of linear regression models, randomness due to model selection is commonly ignored in post-model selection inference. In order to account for the model selection uncertainty, least-squares frequentist model averaging has been proposed recently. We show that the confidence interval from model averaging is asymptotically equivalent to the confidence interval from the full model. The finite-sample confidence intervals based on approximations to the asymptotic distributions are also equivalent if the parameter of interest is a linear function of the regression coefficients. Furthermore, we demonstrate that this equivalence also holds for prediction intervals constructed in the same fashion.
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