Confidence distribution inferences in one-way random effects model

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• 作者：Xuhua Liu ; Xingzhong Xu
• 关键词：One ; way random effects model ; Variance component ; Confidence distribution ; Confidence interval ; Empirical coverage ; Average interval length
• 刊名：TEST
• 出版年：2016
• 出版时间：March 2016
• 年：2016
• 卷：25
• 期：1
• 页码：59-74
• 全文大小：603 KB
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• 作者单位：Xuhua Liu (1)
  Xingzhong Xu (2)
  
  1. Department of Mathematics, China Agricultural University, Beijing, 100193, China
  2. College of Mathematics, Beijing Institute of Technology, Beijing, 100081, China
  
• 刊物类别：Mathematics and Statistics
• 刊物主题：Statistics
  Statistics
  Statistical Theory and Methods
  Statistics for Business, Economics, Mathematical Finance and Insurance
  
• 出版者：Springer Berlin / Heidelberg
• ISSN：1863-8260

文摘

In this paper, we construct a new kind of confidence intervals for the parameters of interest through constructing confidence distributions for them in one-way random effects model. At first, we use the method of Singh et al. (Ann Stat 33:159–183, 2005) to derive combined asymptotic confidence distribution, then obtain the confidence interval naturally by the property of confidence distribution. Simulation results demonstrate that the new confidence intervals perform very well in terms of empirical coverage probability and average interval length. Although we focus on confidence interval estimation, our method can also be used to carry out hypothesis tests about the parameters of interest.