Confidence distribution inferences in one-way random effects model

Xuhua Liu () and Xingzhong Xu ()

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2016, vol. 25, issue 1, 59-74

Abstract: In this paper, we construct a new kind of confidence intervals for the parameters of interest through constructing confidence distributions for them in one-way random effects model. At first, we use the method of Singh et al. (Ann Stat 33:159–183, 2005 ) to derive combined asymptotic confidence distribution, then obtain the confidence interval naturally by the property of confidence distribution. Simulation results demonstrate that the new confidence intervals perform very well in terms of empirical coverage probability and average interval length. Although we focus on confidence interval estimation, our method can also be used to carry out hypothesis tests about the parameters of interest. Copyright Sociedad de Estadística e Investigación Operativa 2016

Keywords: One-way random effects model; Variance component; Confidence distribution; Confidence interval; Empirical coverage; Average interval length; 62F25; 62F86 (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s11749-015-0440-8

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