 Adaptive multigroup confidence intervals with constant coverageC Yu and P D Hoff Biometrika, 2018, vol. 105, issue 2, 319-335 Abstract: SUMMARYCommonly used interval procedures for multigroup data attain their nominal coverage rates across a population of groups on average, but their actual coverage rate for a given group will be above or below the nominal rate, depending on the group mean. While correct coverage for a given group can be achieved with a standard $t$-interval, this approach is not adaptive to the available information about the distribution of group-specific means. In this article we construct confidence intervals that have a constant frequentist coverage rate and that make use of information about across-group heterogeneity, resulting in constant-coverage intervals that are narrower than standard $t$-intervals on average across groups. Such intervals are constructed by inverting biased Bayes-optimal tests for the mean of each group, where the prior distribution for a given group is estimated with data from the other groups. Keywords: Biased test; Confidence region; Hierarchical model; Multilevel data; Shrinkage (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:oup:biomet:v:105:y:2018:i:2:p:319-335. Ordering information: This journal article can be ordered from Access Statistics for this article Biometrika is currently edited by Paul Fearnhead More articles in Biometrika from Biometrika Trust Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK. |
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