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Model-Averaged Confidence Intervals

Kabaila, Paul; Welsh, Alan; Abeysekera, Waruni


We develop an approach to evaluating frequentist model averaging procedures by considering them in a simple situation in which there are two-nested linear regression models over which we average. We introduce a general class of model averaged confidence intervals, obtain exact expressions for the coverage and the scaled expected length of the intervals, and use these to compute these quantities for the model averaged profile likelihood (MPI) and model-averaged tail area confidence intervals...[Show more]

CollectionsANU Research Publications
Date published: 2015
Type: Journal article
Source: Scandinavian Journal of Statistics
DOI: 10.1111/sjos.12163


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