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Can one estimate the conditional distribution of post-model-selection estimators?

ANNALS OF STATISTICS, no. 5 (2006): 2554-2591

Cited: 107|Views24

Abstract

We consider the problem of estimating the conditional distribution of a post-model-selection estimator where the conditioning is on the selected model. The notion of a post-model-selection estimator here refers to the combined procedure resulting from first selecting a model (e.g., by a model selection criterion such as AIC or by a hypoth...More

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