Confidence intervals for intentionally biased estimators

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Tác giả: David M Kaplan, Xin Liu

Ngôn ngữ: eng

Ký hiệu phân loại: 511.4 Approximations formerly also 513.24 and expansions

Thông tin xuất bản: 2025

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 223539

 Comment: accepted manuscript (post-peer review, pre-copyedited, author-produced version)We propose and study three confidence intervals (CIs) centered at an estimator that is intentionally biased to reduce mean squared error. The first CI simply uses an unbiased estimator's standard error
  compared to centering at the unbiased estimator, this CI has higher coverage probability for confidence levels above 91.7%, even if the biased and unbiased estimators have equal mean squared error. The second CI trades some of this "excess" coverage for shorter length. The third CI is centered at a convex combination of the two estimators to further reduce length. Practically, these CIs apply broadly and are simple to compute.
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