Confidence curves are stochastic functions taking values into the unit interval whose level sets provide confidence regions for the unknown parameter. Inversion of the likelihood ratio test leads, via a probability integral transformation, to confidence curves which point at the maximum likelihood estimate. For a one-dimensional parameter, the allied confidence intervals generally do not have equal-tail probabilities. We consider a correction to the log-likelihood ratio which leads to confidence curves that are asymptotically tail-symmetric to the third order of approximation. This happens provided that the maximum likelihood estimator is distributed according to Efron’s normal transformation family.
High-order asymptotics for tail symmetry of confidence curves
DE BLASI, Pierpaolo;
2011-01-01
Abstract
Confidence curves are stochastic functions taking values into the unit interval whose level sets provide confidence regions for the unknown parameter. Inversion of the likelihood ratio test leads, via a probability integral transformation, to confidence curves which point at the maximum likelihood estimate. For a one-dimensional parameter, the allied confidence intervals generally do not have equal-tail probabilities. We consider a correction to the log-likelihood ratio which leads to confidence curves that are asymptotically tail-symmetric to the third order of approximation. This happens provided that the maximum likelihood estimator is distributed according to Efron’s normal transformation family.File | Dimensione | Formato | |
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