# Questions tagged [coverage-probability]

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### 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 ...
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Let $U0$ denotes intercept variance and $U1$ denotes slope variance. Given that the coverage rate for the intercept variance is $91$% $(U0)$ , and the coverage rate for the slope variance is $91.2$% $... 1answer 182 views ### Convergence of Sum of Sums of random variables : trivial? I have a sequence of i.i.d random varaibles$X_1, X_2, ...$with finite mean$\mu$and finite variance. I also have another sequence of i.i.d random varaibles$Y_1, Y_2, ...$with the same finite mean ... 1answer 230 views ### Inconsistency between RMSE and 95% CI Coverage I am running simulations to compare different weighting methods to estimate the mean of y (with missing values). I use bias, RMSE and 95% CI Coverage as my performance metrics. However, looking at ... 0answers 47 views ### Test if confidence interval by observation is correct I have calculated a "confidence interval" of the days between purchase for 600K users. The exact method I used isn't relevant but a simple version would be for each user calculate the distribution ... 1answer 11 views ### internal process of proc mianalyze procedure [closed] Does proc mi analyze in sas consider only estimates of imputed values or complete data sets that is imputed values as well as non imputed values? 0answers 10 views ### Do confidence interval frequency properties hold across parametric forms? Say I run 100 entirely different estimation procedures on 100 different datasets and estimate 95% confidence intervals for each (e.g. logistic regression, linear regression, etc.). Purely based on the ... 1answer 189 views ### Coverage probability for Wald confidence interval with small sample size a) My understanding is that the sample variance (i.e. the squared deviation divided by n - 1 instead of n) constitutes a mean-unbiased estimator of population variance. However, I've run multiple ... 0answers 97 views ### How to calculate coverage rates for 95% confidence intervals for estimands (like regression coefficients)? I'm working on a Synthetic Data Generation model, and I'm confused about a metric mentioned in a seminal paper (details of paper added below) Context: Synthetic Data Generation involves sampling from ... 0answers 41 views ### Conditional coverage probability Suppose I'm interested in a population mean$\mu$of some finite discrete variable$Y \sim P$defined on$\mathbb{R}$. I have a$100(1-\alpha)\%$confidence interval for the sample estimate$\hat{\mu}$... 0answers 272 views ### Coverage probability for the Bayesian credible interval for Normal distribution Bayesian Inference for the Normal Distribution, I use the following r code to obtain the posterior distribution. Let's say the data,$X\sim N(\mu, \sigma^{2})$and$\mu \sim N(0,10)$and$\sigma \sim \...
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 ...