Simultaneous inference for model averaging of derived parameters
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Simultaneous inference for model averaging of derived parameters. / Jensen, Signe Marie; Ritz, Christian.
I: Risk Analysis, Bind 35, Nr. 1, 2015, s. 68-76.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - Simultaneous inference for model averaging of derived parameters
AU - Jensen, Signe Marie
AU - Ritz, Christian
N1 - CURIS 2015 NEXS 071
PY - 2015
Y1 - 2015
N2 - Model averaging is a useful approach for capturing uncertainty due to model selection. Currently, this uncertainty is often quantified by means of approximations that do not easily extend to simultaneous inference. Moreover, in practice there is a need for both model averaging and simultaneous inference for derived parameters calculated in an after-fitting step. We propose a method for obtaining asymptotically correct standard errors for one or several model-averaged estimates of derived parameters and for obtaining simultaneous confidence intervals that asymptotically control the family-wise Type I error rate. The performance of the method in terms of coverage is evaluated using a simulation study and the applicability of the method is demonstrated by means of three concrete examples.
AB - Model averaging is a useful approach for capturing uncertainty due to model selection. Currently, this uncertainty is often quantified by means of approximations that do not easily extend to simultaneous inference. Moreover, in practice there is a need for both model averaging and simultaneous inference for derived parameters calculated in an after-fitting step. We propose a method for obtaining asymptotically correct standard errors for one or several model-averaged estimates of derived parameters and for obtaining simultaneous confidence intervals that asymptotically control the family-wise Type I error rate. The performance of the method in terms of coverage is evaluated using a simulation study and the applicability of the method is demonstrated by means of three concrete examples.
U2 - 10.1111/risa.12242
DO - 10.1111/risa.12242
M3 - Journal article
C2 - 24952957
VL - 35
SP - 68
EP - 76
JO - Risk Analysis
JF - Risk Analysis
SN - 0272-4332
IS - 1
ER -
ID: 125302518