Sequential Confidence Intervals Based on Rank Tests

Corrected confidence intervals for secondary parameters following sequential tests

Abstract: Corrected confidence intervals are developed for the mean of the second component of a bivariate normal process when the first component is being monitored sequentially. This is accomplished by constructing a first approximation to a pivotal quantity, and then using very weak expansions to determine the correction terms. The asymptotic sampling distribution of the renormalised pivotal...

NfIAL CONFIDENCE INTERVALS BASED ON ONE - SAMPLE RANK - ORDER

Bootstrap Confidence Intervals Based on Inverting Hypothesis Tests

Most confidence intervals, whether based on asymptotic theory or the bootstrap, are implicitly based on inverting a Wald test. Since Wald test statistics are not invariant under nonlinear reparametrizations of the restrictions they test, confidence intervals based on them are not invariant either. This fact explains the well-known non invariance of bootstrap confidence intervals obtained by Hal...

Confidence Intervals and Hypothesis Tests

Overview: Recall that a point estimator for a parameter of interest is a statistic which is a function of the random variables from which our sampling method chooses values. The properties of such an estimator, such as having a small bias or a small mean square error, are usually dependent only upon certain features of the sampling distribution of the statistic, such as its mean or variance. Ho...

Confidence Intervals for Lower Quantiles Based on Two-Sample Scheme

In this paper, a new two-sampling scheme is proposed to construct appropriate confidence intervals for the lower population quantiles. The confidence intervals are determined in the parametric and nonparametric set up and the optimality problem is discussed in each case. Finally, the proposed procedure is illustrated via a real data set.