Non-Bayesian Post-Model-Selection Estimation as Estimation Under Model Misspecification

no code implementations • 22 Aug 2023 • Nadav Harel, Tirza Routtenberg

We show that the proposed performance bounds are more informative than the oracle Cram$\acute{\text{e}}$r-Rao Bound (CRB), where the third interpretation (selective inference) results in the lowest mean-squared-error (MSE) among the estimators.

Model Selection