Confidence sets centered at C p -estimators
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DOI: 10.1007/BF00049285
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- T. Speed & Bin Yu, 1993. "Model selection and prediction: Normal regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 45(1), pages 35-54, March.
- Pötscher, B.M., 1991. "Effects of Model Selection on Inference," Econometric Theory, Cambridge University Press, vol. 7(2), pages 163-185, June.
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Keywords
Variable-selection; coverage probability; geometrical loss; locally uniform asymptotics;All these keywords.
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