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I. Definitions

sample which satisfy L ( x ) U ( x ) x . If the realization x=X is observed and the

inference L ( x ) U ( x ) is made, then the random interval L ( x ) , U ( x ) is the

interval estimator.

Is it open/closed/two sided?

{ }

covers the true parameter (ie P L ( x ) ,U ( x ) )

probabilities.

Example 9.1.6

Set up to illustrate the concepts does not tell you how to obtain the interval.

1 Y 1

P { [ aY , bY ]} = P {aY bY } = P

b a

1 1

= P T

b a

Now, use basic probability and the distribution of Y to develop this expression:

n n

1 1

= = confidence coefficient (not a function of the parameter)

a b

n n

c d

Do the same for the other proposed interval: = 1 1 (a function of

the parameter). So, must construct the infimum, which occurs as . So the

confidence coefficient of this estimator is 0!

with good properties

region (and thereby implies an acceptance region) for a specified level (or size) of test

and then solving for the range on the parameter associated with the corresponding

interval.

- There is thus a dual relationship between the corresponding acceptance region

and the confidence interval. The hypothesis test fixes parameter and determines values of

the statistic that support this parameter value. The confidence interval fixes the sample

values and asks what values of the parameter are consistent with these sample values.

- See Figure 9.2.1 for an example of a test of the mean for normally distributed

variables.

Theorem 9.2.2 For each o , let A ( o ) be the acceptance region of a level test of

H o : o . For each x , define a set C ( x ) in the parameter space by

C ( x ) = { o : x A ( o )} . Then the random set C ( X ) is a 1 confidence set.

Conversely, let C ( X ) be a 1 confidence set. Then for any o , define

A ( o ) = { x : o C ( x )} . Then, A ( o ) is an acceptance region of a level test of

H o : o .

acceptance/rejection region. The alternative hypothesis determines the appropriate form

of this acceptance region (as in hypothesis testing)

However, the actual construction of the CI may not be easy. The procedure that

is often used involves the LRT test. However, other tests can also be inverted.

distribution by inverting an LRT test:

H o : = o

H1 : o

a) Set up the LRT test statistic, just as you would for a hypothesis test. After

simplifying,

xi xi

n

( x) = exp n

n o

o

x

i xi

n

*

A ( o ) = x : exp k (See Fig 9.2.2)

o o

x

i xi

n

*

C ( x ) = : exp k (See Fig 9.2.2)

{

C ( x ) = { : L ( x ) U ( x )} = : L ( xi ) U ( xi ) }

So, substituting and noting that you are looking for the values where:

xi xi = xi exp xi

n n

exp

L ( xi ) L ( xi ) U ( xi ) U ( xi )

a n exp ( a ) = b n exp ( b )

The actual solutions are often computed numerically. See text for solution to this

example. You need to use distributions of the statistic here it is simple

( X i ~ Gamma ( n, ) ), but often not.

1

C ( x ) = { : L ( x ) U ( x )} = : xi xi

1

a b

where

1 1

P xi xi = P b

x i

a = 1

a b

test:

H o : p = po

(alternative hypothesis implies p is small under the null hypothesis)

H1 : p > po

So, the confidence interval of the form C ( x ) = { p : L ( x ) < p 1} . Now, we know that

the resulting UMP hypothesis test is MLR and involves T = X i ~ Bin ( n, p ) .

Rejection region is: R = { x : T > k ( po )} , where k is selected to satisfy the size (level) of

the test.

k ( po ) k ( po ) 1

n y n y

p (1 p ) 1 and p (1 p ) < 1

n y n y

y =0 y y =0 y

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