Prediction out-of-sample using block shrinkage estimators: model selection and predictive inference
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In a linear regression model with random design, we consider a family of candidate models from which we want to select a `good' model for prediction out-of-sample. We fit the models using block shrinkage estimators, and we focus on the challenging situation where the number of explanatory variables can be of the same order as sample size and where the number of candidate models can be much larger than sample size. We develop an estimator for the out-of-sample predictive performance, and we show that the empirically best model is asymptotically as good as the truly best model. Using the estimator corresponding to the empirically best model, we construct a prediction interval that is approximately valid and short with high probability, i.e., we show that the actual coverage probability is close to the nominal one and that the length of this prediction interval is close to the length of the shortest but infeasible prediction interval. All results hold uniformly over a large class of data-generating processes. These findings extend results of Leeb (2009), where the models are fit using least-squares estimators, and of Huber (2013), where the models are fit using shrinkage estimators without block structure.
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