Coverage of generalized confidence intervals

JOURNAL OF MULTIVARIATE ANALYSIS

卷:100

Article

Roy, Anindya¹  Bose, Arup² 

[1] Univ Maryland Baltimore Cty, Baltimore, MD 21250 USA

[2] Indian Stat Inst, Kolkata 700108, India

关键词: Average bioequivalence;    Behrens-Fisher problem;    Bootstrap;    Cornish-Fisher expansion;    Coverage probability;    Edgeworth expansion;   

DOI  :  10.1016/j.jmva.2008.12.001

来源: Elsevier

【 摘 要 】

Generalized confidence intervals provide confidence intervals for complicated parametric functions in many common practical problems. They do not have exact frequentist coverage in general, but often provide coverage close to the nominal value and have the correct asymptotic coverage. However, in many applications generalized confidence intervals do not have satisfactory finite sample performance.We derive expansions of coverage probabilities of one-sided generalized confidence intervals and use the expansions to explain the nonuniform performance of the generalized intervals. We then show how to use these expansions to obtain improved coverage by suitable calibration. The benefits of the proposed modification are illustrated via several examples. (c) 2008 Elsevier Inc. All rights reserved.

【 授权许可】

Free