Conservative confidence regions in multivariate calibration
Thomas Mathew and Wenxing Zha
Source: Ann. Statist.
Volume 24, Number 2
(1996), 707-725.
Abstract
In the multivariate calibration problem using a multivariate linear model, some conservative confidence regions are constructed. The regions are nonempty and invariant under nonsingular transformations. Situations where the explanatory variable occurs nonlinearly in the model are also considered. Computational aspects of the confidence region and its practical implementation are discussed. The results are illustrated using two examples. The examples show that our confidence regions are much more satisfactory compared to those based on some of the existing procedures. Furthermore, simulation results for the examples reveal that the coverage probability of the conservative confidence regions are very close to the assumed confidence level.
Primary Subjects: 62F25
Secondary Subjects: 62H99
Keywords: Calibration; confidence region; noncentral $F$ distribution
Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.aos/1032894461
Mathematical Reviews number (MathSciNet):
MR1394984
Digital Object Identifier: doi:10.1214/aos/1032894461
Zentralblatt MATH identifier:
0859.62062
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