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arXiv · 1412.4605

Valid confidence intervals for post-model-selection predictors

François Bachoc·Hannes Leeb·Benedikt M. Pötscher
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Abstract

We consider inference post-model-selection in linear regression. In this setting, Berk et al.(2013) recently introduced a class of confidence sets, the so-called PoSI intervals, that cover a certain non-standard quantity of interest with a user-specified minimal coverage probability, irrespective of the model selection procedure that is being used. In this paper, we generalize the PoSI intervals to post-model-selection predictors.

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François Bachoc, Hannes Leeb, Benedikt M. Pötscher. 2014-12-15. Valid confidence intervals for post-model-selection predictors. https://arxiv.org/abs/1412.4605

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