The Annals of Statistics
- Ann. Statist.
- Volume 26, Number 5 (1998), 1687-1718.
The problem of regions
In the problem of regions, we wish to know which one of a discrete set of possibilities applies to a continuous parameter vector. This problem arises in the following way: we compute a descriptive statistic from a set of data, notice an interesting feature and wish to assign a confidence level to that feature. For example, we compute a density estimate and notice that the estimate is bimodal. What confidence can we assign to bimodality? A natural way to measure confidence is via the bootstrap: we compute our descriptive statistic on a large number of bootstrap data sets and record the proportion of times that the feature appears. This seems like a plausible measure of confidence for the feature. The paper studies the construction of such confidence values and examines to what extent they approximate frequentist $p$-values and Bayesian a posteriori probabilities. We derive more accurate confidence levels using both frequentist and objective Bayesian approaches. The methods are illustrated with a number of examples, including polynomial model selection and estimating the number of modes of a density.
Ann. Statist. Volume 26, Number 5 (1998), 1687-1718.
First available in Project Euclid: 21 June 2002
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Efron, Bradley; Tibshirani, Robert. The problem of regions. Ann. Statist. 26 (1998), no. 5, 1687--1718. doi:10.1214/aos/1024691353. https://projecteuclid.org/euclid.aos/1024691353