A Weighted Model Confidence Set: Applications to Local and Mixture Model Confidence Sets
Amir T. Payandeh Najafabadi, Ghobad Saadat Kia Barmalzan, Shahla Aghaei · arXiv (Cornell University) · 2017
This article provides a weighted model confidence set, whenever underling model has been misspecified and some part of support of random variable $X$ conveys some important information about underling true model. Application of such weighted model confidence set for local and mixture model confidence sets have been given. Two simulation studies have been conducted to show practical application of our findings.