Journal
STATISTICAL SCIENCE
Volume 30, Issue 2, Pages 216-227Publisher
INST MATHEMATICAL STATISTICS
DOI: 10.1214/14-STS507
Keywords
Confidence intervals; model selection; nonstandard coverage target; AIC; BIC; Lasso
Categories
Funding
- Deutsche Forschungsgemeinschaft (DFG) [FOR916]
- FWF [P26354]
- Austrian Science Fund (FWF) [P26354] Funding Source: Austrian Science Fund (FWF)
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We compare several confidence intervals after model selection in the setting recently studied by Berk et al. [Ann. Statist. 41 (2013) 802-837], where the goal is to cover not the true parameter but a certain nonstandard quantity of interest that depends on the selected model. In particular, we compare the PoSI-intervals that are proposed in that reference with the naive confidence interval, which is constructed as if the selected model were correct and fixed a priori (thus ignoring the presence of model selection). Overall, we find that the actual coverage probabilities of all these intervals deviate only moderately from the desired nominal coverage probability. This finding is in stark contrast to several papers in the existing literature, where the goal is to cover the true parameter.
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