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Valid confidence intervals for post-model-selection predictors (1412.4605v3)
Published 15 Dec 2014 in math.ST, stat.ME, and stat.TH
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.