Subscribe to the gold package and get unlimited access to Shamra Academy
Register a new userFinite sample properties of the Buckland-Burnham-Augustin confidence interval centered on a model averaged estimator
144
0
0.0
(
0
)
Added by
Paul Kabaila
Publication date
2019
fields
Mathematical Statistics
and research's language is
English
Ask ChatGPT about the research
No Arabic abstract
We consider the confidence interval centered on a frequentist model averaged estimator that was proposed by Buckland, Burnham & Augustin (1997). In the context of a simple testbed situation involving two linear regression models, we derive exact expressions for the confidence interval and then for the coverage and scaled expected length of the confidence interval. We use these measures to explore the exact finite sample performance of the Buckland-Burnham-Augustin confidence interval. We also explore the limiting asymptotic case (as the residual degrees of freedom increases) and compare our results for this case to those obtained for the asymptotic coverage of the confidence interval by Hjort & Claeskens (2003).
rate research
Read More
Bootstrap smoothed (bagged) parameter estimators have been proposed as an improvement on estimators found after preliminary data-based model selection. The key result of Efron (2014) is a very convenient and widely applicable formula for a delta method approximation to the standard deviation of the bootstrap smoothed estimator. This approximation provides an easily computed guide to the accuracy of this estimator. In addition, Efron (2014) proposed a confidence interval centered on the bootstrap smoothed estimator, with width proportional to the estimate of this approximation to the standard deviation. We evaluate this confidence interval in the scenario of two nested linear regression models, the full model and a simpler model, and a preliminary test of the null hypothesis that the simpler model is correct. We derive computationally convenient expressions for the ideal bootstrap smoothed estimator and the coverage probability and expected length of this confidence interval. In terms of coverage probability, this confidence interval outperforms the post-model-selection confidence interval with the same nominal coverage and based on the same preliminary test. We also compare the performance of confidence interval centered on the bootstrap smoothed estimator, in terms of expected length, to the usual confidence interval, with the same minimum coverage probablility, based on the full model.
Bootstrap smoothed (bagged) estimators have been proposed as an improvement on estimators found after preliminary data-based model selection. Efron, 2014, derived a widely applicable formula for a delta method approximation to the standard deviation of the bootstrap smoothed estimator. He also considered a confidence interval centered on the bootstrap smoothed estimator, with width proportional to the estimate of this standard deviation. Kabaila and Wijethunga, 2019, assessed the performance of this confidence interval in the scenario of two nested linear regression models, the full model and a simpler model, for the case of known error variance and preliminary model selection using a hypothesis test. They found that the performance of this confidence interval was not substantially better than the usual confidence interval based on the full model, with the same minimum coverage. We extend this assessment to the case of unknown error variance by deriving a computationally convenient exact formula for the ideal (i.e. in the limit as the number of bootstrap replications diverges to infinity) delta method approximation to the standard deviation of the bootstrap smoothed estimator. Our results show that, unlike the known error variance case, there are circumstances in which this confidence interval has attractive properties.
This paper describes three methods for carrying out non-asymptotic inference on partially identified parameters that are solutions to a class of optimization problems. Applications in which the optimization problems arise include estimation under shape restrictions, estimation of models of discrete games, and estimation based on grouped data. The partially identified parameters are characterized by restrictions that involve the unknown population means of observed random variables in addition to the structural parameters of interest. Inference consists of finding confidence intervals for the structural parameters. Our theory provides finite-sample lower bounds on the coverage probabilities of the confidence intervals under three sets of assumptions of increasing strength. With the moderate sample sizes found in most economics applications, the bounds become tighter as the assumptions strengthen. We discuss estimation of population parameters that the bounds depend on and contrast our methods with alternative methods for obtaining confidence intervals for partially identified parameters. The results of Monte Carlo experiments and empirical examples illustrate the usefulness of our method.
We study the problem of estimating finite sample confidence intervals of the mean of a normal population under the constraint of differential privacy. We consider both the known and unknown variance cases and construct differentially private algorithms to estimate confidence intervals. Crucially, our algorithms guarantee a finite sample coverage, as opposed to an asymptotic coverage. Unlike most previous differentially private algorithms, we do not require the domain of the samples to be bounded. We also prove lower bounds on the expected size of any differentially private confidence set showing that our the parameters are optimal up to polylogarithmic factors.
In microbiome studies, one of the ways of studying bacterial abundances is to estimate bacterial composition based on the sequencing read counts. Various transformations are then applied to such compositional data for downstream statistical analysis, among which the centered log-ratio (clr) transformation is most commonly used. Due to limited sequencing depth and DNA dropouts, many rare bacterial taxa might not be captured in the final sequencing reads, which results in many zero counts. Naive composition estimation using count normalization leads to many zero proportions, which makes clr transformation infeasible. This paper proposes a multi-sample approach to estimation of the clr matrix directly in order to borrow information across samples and across species. Empirical results from real datasets suggest that the clr matrix over multiple samples is approximately low rank, which motivates a regularized maximum likelihood estimation with a nuclear norm penalty. An efficient optimization algorithm using the generalized accelerated proximal gradient is developed. Theoretical upper bounds of the estimation errors and of its corresponding singular subspace errors are established. Simulation studies demonstrate that the proposed estimator outperforms the naive estimators. The method is analyzed on Gut Microbiome dataset and the American Gut project.
Log in to be able to interact and post comments
comments
Fetching comments
Sign in to be able to follow your search criteria
