Can one estimate the conditional distribution of post-model-selection estimators?
Can one estimate the conditional distribution of post-model-selection estimators?
We consider the problem of estimating the conditional distribution of a post-model-selection estimator where the conditioning is on the selected model. The notion of a post-model-selection estimator here refers to the combined procedure resulting from first selecting a model (e.g., by a model selection criterion such as AIC or by …