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对 Kabaila《模型选择对置信区域和预测区域的影响》的评论AI 解读

In this comment, I first want to offer a few general remarks on the problems caused by nonuniformity in the convergence of coverage probabilities as pointed out in Kabaila's (1995) very stimulating paper. Second, I also argue that within the context of set estimation after model selection one typically will be more interested in conditional coverage probabilities than in unconditional ones. Concentrating on the last example of Section 2 in Kabaila, I then illustrate how a…

不可逆性与误设 ARMA 模型的伪极大似然估计AI 解读

Recently Tanaka and Satchell [11] investigated the limiting properties of local maximizers of the Gaussian pseudo-likelihood function of a misspecified moving average model of order one in case the spectral density of the data process has a zero at frequency zero. We show that pseudo-maximum likelihood estimators in the narrower sense, that is, global maximizers of the Gaussian pseudo-likelihood function, may exhibit behavior drastically different from that of the local…

模型选择对推断的影响AI 解读

The asymptotic properties of parameter estimators which are based on a model that has been selected by a model selection procedure are investigated. In particular, the asymptotic distribution is derived and the effects of the model selection process on subsequent inference are illustrated.

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