Engineering World
E-ISSN: 2692-5079 An Open Access, Peer Reviewed Journal of Selected Publications in Engineering and Applied Sciences
Volume 2, 2020
A new computation technique of constructing confidence intervals of shortest length and equal tails under parametric uncertainty
Authors: , ,
Abstract: A confidence interval is a range of values that provides the user with useful information about how accurately a statistic estimates a parameter. In the present paper, a new simple computation technique is proposed for simultaneous constructing and comparing confidence intervals of shortest-length and equal tails. This unified computation technique provides intervals in several situations that previously required separate analysis using more advanced methods and tables for numerical solutions. In contrast to the Bayesian approach, the proposed approach does not depend on the choice of priors and is a novelty in the theory of statistical decisions. It allows one to exclude nuisance parameters from the problem using the technique of invariant statistical embedding and averaging in terms of pivotal quantities (ISE & APQ) and quantile functions. It should be noted that the well-known classical approach to constructing confidence intervals of the shortest length considers at least three versions of possible solutions and is in need of information about the forms of probability distributions of pivotal quantities in order to determine an adequate version of the correct solution. The proposed technique does not need such information. It automatically recognizes an adequate version of the correct solution. To illustrate this technique, numerical examples are given.
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Keywords: Parametric uncertainty, pivotal quantity, confidence intervals of shortest length and equal tails
Pages: 250-257
Engineering World, E-ISSN: 2692-5079, Volume 2, 2020, Art. #38