The Annals of Statistics
- Ann. Statist.
- Volume 24, Number 4 (1996), 1536-1546.
Asymptotically honest confidence sets for structural errors-in-variables models
The problem of constructing confidence sets for the structural errors-in-variables model is considered under the assumption that the variance of the error associated with the covariate is known. Previously proposed confidence sets for this model suffer from the problem that they all have zero confidence levels for any sample size, where the confidence level of a confidence set is defined to be the infimum of coverage probability over the parameter space. In this paper we construct some asymptotically honest confidence sets; that is, the limiting values of their confidence levels are at least as large as the nominal probabilities when the sample size goes to $\infty$. A desirable property of the proposed confidence set for the slope is also established.
Ann. Statist., Volume 24, Number 4 (1996), 1536-1546.
First available in Project Euclid: 17 September 2002
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Huwang, Longcheen. Asymptotically honest confidence sets for structural errors-in-variables models. Ann. Statist. 24 (1996), no. 4, 1536--1546. doi:10.1214/aos/1032298282. https://projecteuclid.org/euclid.aos/1032298282