Statistical Science

Setting confidence intervals for bounded parameters

Mark Mandelkern

Full-text: Open access

Abstract

Setting confidence bounds is an essential part of the reporting of experimental results. Current physics experiments are often done to measure nonnegative parameters that are small and may be zero and to search for small signals in the presence of backgrounds. These are examples of experiments which offer the possibility of yielding a result, recognized a priori to be relatively improbable, of a negative estimate for a quantity known to be positive. The classical Neyman procedure for setting confidence bounds in this situation is arguably unsatisfactory and several alternatives have been recently proposed. We compare methods for setting Gaussian and Poisson confidence intervals for cases in which the parameter to be estimated is bounded. These procedures lead to substantially different intervals when a relatively improbable observation implies a parameter estimate beyond the bound.

Article information

Source
Statist. Sci. Volume 17, Issue 2 (2002), 149-172.

Dates
First available in Project Euclid: 28 August 2002

Permanent link to this document
http://projecteuclid.org/euclid.ss/1030550859

Digital Object Identifier
doi:10.1214/ss/1030550859

Mathematical Reviews number (MathSciNet)
MR1939335

Zentralblatt MATH identifier
1013.62028

Citation

Mandelkern, Mark. Setting confidence intervals for bounded parameters. Statist. Sci. 17 (2002), no. 2, 149--172. doi:10.1214/ss/1030550859. http://projecteuclid.org/euclid.ss/1030550859.


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See also

  • Includes: George Casella. Comment.
  • Includes: Leon Jay Gleser. Comment.
  • Includes: Larry Wasserman. Comment.
  • Includes: David A. van Dyk. Comment.
  • Includes: Michael Woodroofe, Tonglin Zhang. Comment.
  • Includes: Mark Mandelkern. Rejoinder.

Corrections

  • See authors' correction: Michael Woodroofe, Tonglin Zhang. Comment on "Setting confidence Intervals for Bounded Parameters," by Mark Mandelkern. Stat. Sci. (2002) v. 17, no.3, pp. 379.