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Interval estimation via tail functions

Puza, B.D; O'Neill, Terence


In this paper we describe a new methodology for constructing confidence intervals. The idea is to specify the tail cutoff areas in terms of a function of the target parameter rather than as constants. This function, called the tail function, can be engineered so as to provide shorter confidence intervals when prior information is available. It can also be used to improve the coverage properties of approximate confidence intervals. We illustrate the methodology by applying it to inference on the...[Show more]

CollectionsANU Research Publications
Type: Working/Technical Paper
Source: Canadian Journal of Statistics
DOI: 10.1002/cjs.5550340207


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