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Guaranteed Conservative Fixed Width Confidence Intervals Via Monte Carlo Sampling
Guaranteed Conservative Fixed Width Confidence Intervals Monte Carlo Sampling
2012/9/17
Monte Carlo methods are used to approximate the means,? of random variablesY, whose distributions are not known explicitly. The key idea is that the
average of a random sample,Y1,...,Yn, tends to 礱sn...
A Normal Hierarchical Model and Minimum Contrast Estimation for Random Intervals
random intervals Normality hierarchical Choquet functional minimum contrast estimator strong consistency asymptotic normality.
2012/9/19
Many statistical data are imprecise due to factors such as mea-surement errors, computation errors, and lack of information. In such cases, data are better represented by intervals rather thanby singl...
On the frequentist coverage of Bayesian credible intervals for lower bounded means
Bayesian credible sets restricted parameter space frequentist coverage probability logconcavity
2009/9/16
For estimating a lower bounded location or mean parameter for a symmetric and logconcave density, we investigate the frequentist performance of the $100(1-alpha)%$ Bayesian HPD credible set associated...
Exact confidence intervals for the Hurst parameter of a fractional Brownian motion
Concentration inequalities exact confidence intervals fractional Brownian motion Hurst parameter
2009/9/16
In this short note, we show how to use concentration inequalities in order to build exact confidence intervals for the Hurst parameter associated with a one-dimensional fractional Brownian motion.
Functional asymptotic confidence intervals for a common mean of independent random variables
Lindeberg's condition symmetric random variable Student statistic Student process Wiener process functional central limit theorem
2009/9/16
We consider independent random variables (r.v.'s) with a common mean $mu$ that either satisfy Lindeberg's condition, or are symmetric around $mu$. Present forms of existing functional central limit th...