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On the large-sample minimal coverage probability of confidence intervals after model selection

Kabaila, Paul; Leeb, Hannes - In: Journal of the American Statistical Association : JASA 101 (2006), pp. 619-629

Persistent link: https://www.econbiz.de/10003334642

The impact of a Hausman pretest, applied to panel data, on the coverage probability of confidence intervals

Kabaila, Paul; Mainzer, Rheanna; Farchione, Davide - In: Economics letters 131 (2015), pp. 12-15

Persistent link: https://www.econbiz.de/10011422500

Estimation risk for value-at-risk and expected shortfall

Kabaila, Paul; Mainzer, Rheanna - In: Journal of risk 20 (2017/2018) 3, pp. 29-47

Persistent link: https://www.econbiz.de/10011847463

The Adjustment of Prediction Intervals to Account for Errors in Parameter Estimation

Kabaila, Paul; He, Zhisong - 2004

Standard approximate 1-a prediction intervals (PIs) need to be adjusted to take account of the error in estimating the parameters. This adjustment may be aimed at setting the (unconditional) probability that the PI includes the value being predicted equal to 1-a. Alternatively, this adjustment...

Persistent link: https://www.econbiz.de/10014071724