Estimation after Parameter Selection: Performance Analysis and Estimation Methods

Abstract: In many practical parameter estimation problems, prescreening and parameter selection are performed prior to estimation. In this paper, we consider the problem of estimating a preselected unknown deterministic parameter chosen from a parameter set based on observations according to a predetermined selection rule, $\Psi$. The data-based parameter selection process may impact the subsequent estimation by introducing a selection bias and creating coupling between decoupled parameters. This paper introduces a post-selection mean squared error (PSMSE) criterion as a performance measure. A corresponding Cram\'er-Rao-type bound on the PSMSE of any $\Psi$-unbiased estimator is derived, where the $\Psi$-unbiasedness is in the Lehmann-unbiasedness sense. The post-selection maximum-likelihood (PSML) estimator is presented .It is proved that if there exists an $\Psi$-unbiased estimator that achieves the $\Psi$-Cram\'er-Rao bound (CRB), i.e. an $\Psi$-efficient estimator, then it is produced by the PSML estimator. In addition, iterative methods are developed for the practical implementation of the PSML estimator. Finally, the proposed $\Psi$-CRB and PSML estimator are examined in estimation after parameter selection with different distributions.