Model-Averaged Confidence Intervals

DOI10.1111/sjos.12163zbMath1364.62176arXiv1404.6855OpenAlexW1525234069MaRDI QIDQ2791827

Waruni Abeysekera, A. H. Welsh, Paul V. Kabaila

Publication date: 16 March 2016

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.6855

zbMATH Keywords

model selectionAkaike information criterionconfidence intervalcoverage probabilityregression modelsprofile likelihoodexpected lengthnominal coveragetail area confidence interval

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Linear regression; mixed models (62J05)

Related Items (10)

Two sources of poor coverage of confidence intervals after model selection ⋮ Comparison of the frequentist MATA confidence interval with Bayesian model-averaged confidence intervals ⋮ An alternative to confidence intervals constructed after a Hausman pretest in panel data ⋮ When and when not to use optimal model averaging ⋮ Exact Model Averaged Tail Area Confidence Intervals ⋮ Computation of the expected value of a function of a chi-distributed random variable ⋮ Finite sample properties of confidence intervals centered on a model averaged estimator ⋮ Confidence intervals centred on bootstrap smoothed estimators ⋮ Frequentist model averaging in structural equation modelling ⋮ Frequentist model averaging in structure equation model with ordinal data

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• ON THE COVERAGE PROBABILITY OF CONFIDENCE INTERVALS IN REGRESSION AFTER VARIABLE SELECTION
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