My question is general type.Suppose we calculate confidence interval for parameters that are supposed to come from nonlinear model like multivariate nonlinear regression model.I have to calculate Fisher information matrix or Hessian matrix in order to find Covariance matrix that will be subsequently used in construction of confidence intervals.
My question is how we can validate that we have correctly calculated the required interval. In linear case we can validate by coverage probability etc but in nonlinear case how we check the adequacy of calculated interval.
Anyone can help me to find the method or point out any article related .
Thanking you anticipation.