post-model selection prediction error


filwcr - Posted on 25 October 2012

Project Description: 

It is common that we do model selection during linear regression analysis. However, when we do statistical inference from the reduced final model, we simply ignore the effect from model selection. In my project, I show by simulation, as well as theoretical deduction under simplified situation, that the distribution of normalized prediction is distorted by model selection process. I also use bootstrap method to see whether or when it helps to correct the situation.