Post-selection inference for linear mixed model parameters using the conditional Akaike information criterion

Autor:	Claeskens, Gerda, Reluga, Katarzyna, Sperlich, Stefan
Rok vydání:	2021
Předmět:	Statistics - Methodology Statistics - Applications Statistics - Computation 62F12 62F25 G.3
Druh dokumentu:	Working Paper
Popis:	We investigate the issue of post-selection inference for a fixed and a mixed parameter in a linear mixed model using a conditional Akaike information criterion as a model selection procedure. Within the framework of linear mixed models we develop complete theory to construct confidence intervals for regression and mixed parameters under three frameworks: nested and general model sets as well as misspecified models. Our theoretical analysis is accompanied by a simulation experiment and a post-selection examination on mean income across Galicia's counties. Our numerical studies confirm a good performance of our new procedure. Moreover, they reveal a startling robustness to the model misspecification of a naive method to construct the confidence intervals for a mixed parameter which is in contrast to our findings for the fixed parameters. Comment: 39 pages, 7 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2109.10975 Zobrazit plný text záznamu View this record from Arxiv