# Questions tagged [coverage-probability]

The probability that a confidence interval actually contains the true parameter.

41 questions
Filter by
Sorted by
Tagged with
16 views

### Double bootstrap coverage failure?

I am working on a simulation to compare different bootstrap algorithms, like normal, percentile, BCa. I also include the double bootstrap or bootstrap-t, which requires a second round of bootstrapping ...
12 views

### How to calculate coverage probability when the true distribution is unknown

I am trying to calculate the coverage probability of my bootstrapping method to know whether the method that I have is valid. However, all that i have is the samples, without knowing the true ...
39 views

### Poor Coverage for Bootstrap Confidence Interval on Mean

Based on a highly skewed population, I was hoping to obtain good coverage with bootstrap (vs standard) confidence intervals. I’m not having much luck. I specify my population in R as a Gamma ...
116 views

44 views

### How can I compare the lengths between these two confidence intervals? [closed]

Let $X\sim Beta(\theta,1)$. I was asked to find two confidence intervals and compare their lengths. The first confidence interval is for $Y=-(logX)^{-1}$ over the set $[y/2,y]$. The second ...
48 views

### Test if confidence interval by observation is correct

I have calculated a "confidence interval" of the days between purchase for 600K users. The exact method I used isn't relevant but a simple version would be for each user calculate the distribution ...
11 views

### internal process of proc mianalyze procedure [closed]

Does proc mi analyze in sas consider only estimates of imputed values or complete data sets that is imputed values as well as non imputed values?
10 views

### Do confidence interval frequency properties hold across parametric forms?

Say I run 100 entirely different estimation procedures on 100 different datasets and estimate 95% confidence intervals for each (e.g. logistic regression, linear regression, etc.). Purely based on the ...
45 views

### Coverage probability and the nominal coverage probability frequently

What is the difference between coverage probability and the nominal coverage probability frequently?
251 views

### Coverage probability for Wald confidence interval with small sample size

a) My understanding is that the sample variance (i.e. the squared deviation divided by n - 1 instead of n) constitutes a mean-unbiased estimator of population variance. However, I've run multiple ...
532 views

219 views

### Joint credible regions from MCMC draws

Lets say I have $n$ posterior samples of $\theta_1$ and $\theta_2$. I suppose that any region $R$ which contains exactly $(1-\alpha)n$ of the points will be an approximate $(1-\alpha)\times100$ ...
218 views

### Econometrics: What will happen if I have a biased estimator (either positively or negatively biased) when constructing the confidence interval

Suppose that the OLS estimator for $\beta_j$ is in fact biased. How would this affect the use of confidence intervals as hypothesis testing tools (assuming a two-tailed test)? That is, what sort of ...
72 views

### Interpretation of values contained in a confidence interval [duplicate]

Are the values within a confidence interval those that do not significantly differ from the point estimate? Or, put differently, how do we interpret the values contained in a CI given that the CI is ...
71 views

639 views

### confidence intervals' coverage with regularized estimates

Suppose I'm trying to estimate a large number of parameters from some high-dimensional data, using some kind of regularized estimates. The regularizer introduces some bias into the estimates, but it ...
646 views

### coverage of confidence interval

I need to check the coverage of a confidence interval, but I don't know which one of the following approaches I should use. Approach 1: Estimate the regression parameter $\theta$ Use the sandwich ...
221 views

### Confidence Intervals of a Given Width

I'm working through some questions on confidence intervals. My answer doesn't match the book, but the book's answer was a number I had a few steps before the end. I have ten numbers which are a ...
405 views

71 views

### error on truncated rms

I am computing the RMS of a sample to estimate the standar error $\sigma$ of the underlying distribution (for simplicity let say a normal distribution $N[\mu$, $\sigma$]). \$ \text{RMS} = \sum_{i=1}^N ...
151 views

### Why (mathematically) is the parametric bootstrap usually better than the empirical one?

As I know from experience, the parametric bootstrap performs better in terms of coverage probability for confidence intervals then the empirical bootstrap. Of course, this makes sense because you put ...
261 views

### Inconsistency between RMSE and 95% CI Coverage

I am running simulations to compare different weighting methods to estimate the mean of y (with missing values). I use bias, RMSE and 95% CI Coverage as my performance metrics. However, looking at ...
451 views

### Confidence Interval Coverage-error and Type I error

Could somebody explain to me the relationship between coverage error and type one errors in multiple comparisons testing, if there is one in fact? Does a coverage error occur when the true value of ...
365 views

### Why are intervals for means narrower than intervals for individual observations?

I am looking at problem 5.01 relating to Galton's data on adult heights of fathers and sons, from Chapter 5 of Statistical Modelling: A Fresh Approach link to this book: http://www.mosaic-web.org/go/...