Coverage of generalized confidence intervals

Anindya Roy and Arup Bose

Journal of Multivariate Analysis, 2009, vol. 100, issue 7, 1384-1397

Abstract: Generalized confidence intervals provide confidence intervals for complicated parametric functions in many common practical problems. They do not have exact frequentist coverage in general, but often provide coverage close to the nominal value and have the correct asymptotic coverage. However, in many applications generalized confidence intervals do not have satisfactory finite sample performance. We derive expansions of coverage probabilities of one-sided generalized confidence intervals and use the expansions to explain the nonuniform performance of the generalized intervals. We then show how to use these expansions to obtain improved coverage by suitable calibration. The benefits of the proposed modification are illustrated via several examples.

Keywords: Average; bioequivalence; Behrens-Fisher; problem; Bootstrap; Cornish-Fisher; expansion; Coverage; probability; Edgeworth; expansion (search for similar items in EconPapers)
Date: 2009
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