Bachoc, Francois; Leeb, Hannes; Pötscher, Benedikt M. - Volkswirtschaftliche Fakultät, … - 2014
We consider inference post-model-selection in linear regression. In this setting, Berk et al.(2013) recently introduced … user-specified minimal coverage probability, irrespective of the model selection procedure that is being used. In this … paper, we generalize the PoSI intervals to post-model-selection predictors. …