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- Ankargren, SebastianUppsala universitet,Statistiska institutionen (author)
On the least-squares model averaging interval estimator
- Article/chapterEnglish2018
Publisher, publication year, extent ...
- 2017-09-06
- Informa UK Limited,2018
- printrdacarrier
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- LIBRIS-ID:oai:DiVA.org:uu-328528
- https://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-328528URI
- https://doi.org/10.1080/03610926.2017.1300272DOI
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- Language:English
- Summary in:English
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- 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.
Subject headings and genre
- NATURVETENSKAP Matematik Sannolikhetsteori och statistik hsv//swe
- NATURAL SCIENCES Mathematics Probability Theory and Statistics hsv//eng
- Asymptotic equivalence
- Linear model
- Local asymptotics
- Frequentist model averaging
- Post-selection inference
- Statistics
- Statistik
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- Jin, Shaobo,1987-Uppsala universitet,Statistiska institutionen(Swepub:uu)shaji948 (author)
- Uppsala universitetStatistiska institutionen (creator_code:org_t)
Related titles
- In:Communications in Statistics - Theory and Methods: Informa UK Limited47:1, s. 118-1320361-09261532-415X
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