B0574
Title: Selective confidence intervals for martingale regression model
Authors: Ka Wai Tsang - The Chinese University of Hong Kong, Shenzhen (China) [presenting]
Abstract: The problem of constructing confidence intervals is considered for selected coefficients in a martingale regression model. It is a common practice in statistical analysis to perform data-driven variable selection and derive statistical inference from the resulting model. Such inference enjoys none of the guarantees that classical statistical theory provides for confidence intervals when the model has been chosen a priori. To overcome the inherent difficulties of post-selection confidence intervals, we introduce consistent estimators of the selected parameters and work on a resampling approach.
