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On the least-square...
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Ankargren, SebastianUppsala universitet,Statistiska institutionen
(author)
On the least-squares model averaging interval estimator
- Article/chapterEnglish2018
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2017-09-06
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Informa UK Limited,2018
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LIBRIS-ID:oai:DiVA.org:uu-328528
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https://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-328528URI
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https://doi.org/10.1080/03610926.2017.1300272DOI
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Language:English
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Summary in:English
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Subject category:ref swepub-contenttype
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Subject category:art swepub-publicationtype
Notes
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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.
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Jin, Shaobo,1987-Uppsala universitet,Statistiska institutionen(Swepub:uu)shaji948
(author)
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Uppsala universitetStatistiska institutionen
(creator_code:org_t)
Related titles
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In:Communications in Statistics - Theory and Methods: Informa UK Limited47:1, s. 118-1320361-09261532-415X
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