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VALID CONFIDENCE INTERVALS IN REGRESSION AFTER VARIABLE SELECTION

Published online by Cambridge University Press:  01 August 1998

Paul Kabaila
Affiliation:
La Trobe University

Abstract

We consider a linear regression model with regression parameters (θ1,...,θp) and error variance parameter σ2. Our aim is to find a confidence interval with minimum coverage probability 1 − α for a parameter of interest θ1 in the presence of nuisance parameters (θ2,...,θp2). We consider two confidence intervals, the first of which is the standard confidence interval for θ1 with coverage probability 1 − α. The second confidence interval for θ1 is obtained after a variable selection procedure has been applied to θp. This interval is chosen to be as short as possible subject to the constraint that it has minimum coverage probability 1 − α. The confidence intervals are compared using a risk function that is defined as a scaled version of the expected length of the confidence interval. We show that, subject to certain conditions including that [(dimension of response vector) − p] is small, the second confidence interval is preferable to the first when we anticipate (without being certain) that |θp|/σ is small. This comparison of confidence intervals is shown to be mathematically equivalent to a corresponding comparison of prediction intervals.

Type
Research Article
Copyright
© 1998 Cambridge University Press

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