Search Results - subject:"Coverage probability"

Kappa statistic for clustered physician–patients polytomous data

Yang, Zhao; Zhou, Ming - In: Computational Statistics & Data Analysis 87 (2015) C, pp. 1-17

performance of empirical coverage probability of the new proposal and alternative methods. The method ignoring dependence within a …

Persistent link: https://www.econbiz.de/10011209619

On the discrepancy between Bayes credibility and frequentist probability of coverage

Bahamyirou, Asma; Marchand, Éric - In: Statistics & Probability Letters 97 (2015) C, pp. 63-68

For estimating a bounded normal mean with known variance, we exhibit situations of pronounced discrepancy between the credibility of Bayes credible regions and frequentist coverage. Analogously, frequentist confidence intervals are shown to have credibility one in some cases.

Persistent link: https://www.econbiz.de/10011189366

Inference on the parameters of two Weibull distributions based on record values

Zakerzadeh, H.; Jafari, A. - In: Statistical Methods and Applications 24 (2015) 1, pp. 25-40

The Weibull distribution is a very applicable model for the lifetime data. Therefore, comparing the parameters of two Weibull distributions is very important. However, there is not an appropriate method for comparing the shape or scale parameters in the literatures based on record values. In...

Persistent link: https://www.econbiz.de/10011241330

The impact of a Hausman pretest, applied to panel data, on the coverage probability of confidence intervals

Kabaila, Paul; Mainzer, Rheanna; Farchione, Davide - In: Economics letters 131 (2015), pp. 12-15

Persistent link: https://www.econbiz.de/10011422500

Halbert White jr. Memorial JFEC Lecture : pitfalls and possibilities in predictive regression

Phillips, Peter C. B. - In: Journal of financial econometrics : official journal of … 13 (2015) 3, pp. 521-555

Persistent link: https://www.econbiz.de/10011339279

Effects of Model Selection on the Coverage Probability of Confidence Intervals in Binary-Response Logistic Regression

Zhang, Dongquan - 2008

paperaddresses the coverage probability of confidence intervals of logit coefficients in binary-responselogistic regression. We … probabilityof confidence intervals may fall. The coverage probability varies given the effects ofmultiple factors:(1) While the …'s coverage, with the tendency that ahigher correlation indicates a lower coverage probability.(2) No evidence shows that AIC …

Persistent link: https://www.econbiz.de/10009450906

Invalidity of the Bootstrap and the m Out of n Bootstrap for Interval Endpoints Defined by Moment Inequalities

Andrews, Donald W.K.; Han, Sukjin - Cowles Foundation for Research in Economics, Yale University - 2008

This paper analyzes the finite-sample and asymptotic properties of several bootstrap and m out of n bootstrap methods for constructing confidence interval (CI) endpoints in models defined by moment inequalities. In particular, we consider using these methods directly to construct CI endpoints....

Persistent link: https://www.econbiz.de/10005039556

Optimal Bandwidth Choice for Interval Estimation in GMM Regression

Sun, Yixiao; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2008

length and false coverage probability are also considered, leading to a secondary approach to bandwidth selection with …

Persistent link: https://www.econbiz.de/10005087368

Confidence sets based on penalized maximum likelihood estimators

Pötscher, Benedikt M.; Schneider, Ulrike - Volkswirtschaftliche Fakultät, … - 2008

The finite-sample coverage properties of confidence intervals based on penalized maximum likelihood estimators like the LASSO, adaptive LASSO, and hard-thresholding are analyzed. It is shown that symmetric intervals are the shortest. The length of the shortest intervals based on the...

Persistent link: https://www.econbiz.de/10005026624

Simultaneous adjustment of bias and coverage probabilities for confidence intervals

Menéndez, P.; Fan, Y.; Garthwaite, P.H.; Sisson, S.A. - In: Computational Statistics & Data Analysis 70 (2014) C, pp. 35-44

A new method is proposed for the correction of confidence intervals when the original interval does not have the correct nominal coverage probabilities in the frequentist sense. The proposed method is general and does not require any distributional assumptions. It can be applied to both...

Persistent link: https://www.econbiz.de/10010871454