Confidence Intervals from Monte Carlo Tests
作者:
Erik Bølviken,
Eva Skovlund,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1996)
卷期:
Volume 91,
issue 435
页码: 1071-1078
ISSN:0162-1459
年代: 1996
DOI:10.1080/01621459.1996.10476977
出版商: Taylor & Francis Group
关键词: Exact confidence interval;Exponential class;Sampling technique
数据来源: Taylor
摘要:
Monte Carlo tests have exact level when the distribution of the test statistic is free of nuisance parameters. Confidence sets obtained by inverting such tests are also exact but may have a complicated structure. The sets reduce to intervals if the sampling can be organized in a special way. A sufficient condition is that the test statistic is monotone in the parameter of interest when all random drawings are kept fixed. Examples given include models from the one-parameter exponential class. A simple theory quantifying the impact of Monte Carlo uncertainty is also developed.
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