Bootstrap confidence sets for the Aumann mean of a random closed set

Christine Choirat and Raffaello Seri

Computational Statistics & Data Analysis, 2014, vol. 71, issue C, 803-817

Abstract: The objective is to develop a reliable method to build confidence sets for the Aumann mean of a random closed set as estimated through the Minkowski empirical mean. First, a general definition of the confidence set for the mean of a random set is provided. Then, a method using a characterization of the confidence set through the support function is proposed and a bootstrap algorithm is described, whose performance is investigated in Monte Carlo simulations.

Keywords: Random set; Aumann mean; Confidence set; Support function (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:71:y:2014:i:c:p:803-817

DOI: 10.1016/j.csda.2012.10.015

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