Enhanced one-sided confidence regions for a multivariate location parameter

Michael Vock

Journal of Multivariate Analysis, 2008, vol. 99, issue 9, 2125-2135

Abstract: If a one-sided test for a multivariate location parameter is inverted, the resulting confidence region may have an unpleasant shape. In particular, if the null and alternative hypothesis are both composite and complementary, the confidence region usually does not resemble the alternative parameter region in shape, but rather a reflected version of the null parameter region. We illustrate this effect and show one possibility of obtaining confidence regions for the location parameter that are smaller and have a more suitable shape for the type of problems investigated. This method is based on the closed testing principle applied to a family of nested hypotheses.

Keywords: 62G15; 62H15; Multivariate; location; parameter; One-sided; inference; Restricted; alternative; Confidence; region; Closed; testing; principle (search for similar items in EconPapers)
Date: 2008
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