Two sources of poor coverage of confidence intervals after model selection
classification
🧮 math.ST
stat.MEstat.TH
keywords
modelconfidencecoverageintervalspoorselectionsourceschoose
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We compare the following two sources of poor coverage of post-model-selection confidence intervals: the preliminary data-based model selection sometimes chooses the wrong model and the data used to choose the model is re-used for the construction of the confidence interval.
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