Simulation-Based Confidence Intervals for Functions With Complicated Derivatives

Micha Mandel

The American Statistician, 2013, vol. 67, issue 2, 76-81

Abstract: In many scientific problems, the quantity of interest is a function of parameters that index the model, and confidence intervals are constructed by applying the delta method. However, when the function of interest has complicated derivatives, this standard approach is unattractive and alternative algorithms are required. This article discusses a simple simulation-based algorithm for estimating the variance of a transformation, and demonstrates its simplicity and accuracy by applying it to several statistical problems.

Date: 2013
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DOI: 10.1080/00031305.2013.783880

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