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

Annals of Statistics

Volumn 34, Issue 5, 2006, Pages 2554-2591

  Leeb, Hannes ^a   Pöscher, Benedikt M ^b  

^a YALE UNIVERSITY   (United States)

^b UNIVERSITY OF VIENNA   (Austria)

Author keywords

Akaike's information criterion AIC; Consistency; Inference after model selection; Lower risk bound; Model uncertainty; Post model selection estimator; Pre test estimator; Selection of regressors; Thresholding; Uniform consistency

Indexed keywords

EID: 33847415033     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/009053606000000821     Document Type: Article

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