Efficiently Simulating the Coverage Properties of Interval Estimates

D. B. Rubin and N. Schenker

Journal of the Royal Statistical Society Series C, 1986, vol. 35, issue 2, 159-167

Abstract: Methods of simulating the frequency coverage of an interval estimate by simulating the average Bayesian posterior probability coverage are presented. The methods can be much more efficient than the standard method that simulates the hit rate of the interval. The possible increased efficiency is illustrated using three examples: estimating a binomial probability, bootstrapping a variance, and multiple imputation intervals for the mean.

Date: 1986
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