Some simple corrected confidence intervals following a sequential test.
Some simple corrected confidence intervals following a sequential test.
In this paper, we consider the construction of confidence intervals for a secondary variable after a sequential test for a primary variable. Asymptotic moment expansions for randomly stopped averages are used to guide us to correct the naive confidence interval. Three corrected confidence intervals are investigated in terms of their coverage probability via Monte Carlo simulation. All three corrected confidence intervals are easy to calculate and improvements over the naive confidence interval for most of the situations considered. For the bivariate normal situation, one corrected confidence interval has its minimum coverage probability very close to its nominal confidence level and hence is recommended.
approximate pivot, asymptotic moment expansions, confidence level, coverage probability, sequential test
189-205
Liu, Wei
b64150aa-d935-4209-804d-24c1b97e024a
2004
Liu, Wei
b64150aa-d935-4209-804d-24c1b97e024a
Liu, Wei
(2004)
Some simple corrected confidence intervals following a sequential test.
Journal of Statistical Planning and Inference, 126 (1), .
(doi:10.1016/j.jspi.2003.08.003).
Abstract
In this paper, we consider the construction of confidence intervals for a secondary variable after a sequential test for a primary variable. Asymptotic moment expansions for randomly stopped averages are used to guide us to correct the naive confidence interval. Three corrected confidence intervals are investigated in terms of their coverage probability via Monte Carlo simulation. All three corrected confidence intervals are easy to calculate and improvements over the naive confidence interval for most of the situations considered. For the bivariate normal situation, one corrected confidence interval has its minimum coverage probability very close to its nominal confidence level and hence is recommended.
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Published date: 2004
Keywords:
approximate pivot, asymptotic moment expansions, confidence level, coverage probability, sequential test
Organisations:
Statistics
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Local EPrints ID: 30120
URI: http://eprints.soton.ac.uk/id/eprint/30120
ISSN: 0378-3758
PURE UUID: ec54603d-35ce-48ab-9ea9-945f1fc2482c
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Date deposited: 11 May 2006
Last modified: 16 Mar 2024 02:42
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