Zur Konstruktion von Bereichsschätzungen für nichtmonotone Funktionen von Parametern / On the Construction of Confidence Regions for Non- Monotone Functions of Parameters

Weichselberger Kurt and Augustin Thomas
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Weichselberger Kurt: Forschungsgruppe Intervallwahrscheinlichkeit, Ludwig-Maximilians-Universität, Ludwigstr. 33, D-80539 München.
Augustin Thomas: Forschungsgruppe Intervallwahrscheinlichkeit, Ludwig-Maximilians-Universität, Ludwigstr. 33, D-80539 München.

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1998, vol. 217, issue 1, 123-137

Abstract: Let Fθ ( x ) be a family of distributions in ℝ1 θ a real parameter and ψ(θ) a non-monotone function. Consider the problem of obtaining a (1 - α)-confidence region for ψ. This problem demonstrates the efficiency of the most general method for the construction of confidence-regions: using the duality with families of tests. The great variety of solutions derivable by this procedure can also be shown. As an example, exact (1 - α)-confidence intervals possessing important desirable properties for ψ = |μ| in case of the Ν (μ; 1)-family are constructed.

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:217:y:1998:i:1:p:123-137

DOI: 10.1515/jbnst-1998-0114

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