ABSTRACT
In this chapter we leave asymptotic theory and elaborate on some general inference principles initiated in Chapter 1, Sections 1.2 and 1.3 and Chapter 3, Sections 3.3 and 3.4. The results will guide the construction of procedures with optimal asymptotic properties for models much more general than those of this chapter. Recent work relating to the topics in this chapter deals with optimal inference after data based model selection. See Fithian, Sun and Taylor (2014).
