Bootstrapping the conditional copula

This paper is concerned with inference about the dependence or association between two random variables conditionally upon the given value of a covariate. A way to describe such a conditional dependence is via a conditional copula function. Nonparametric estimators for a conditional copula then lead to nonparametric estimates of conditional association measures such as a conditional Kendall's tau. The limiting distributions of nonparametric conditional copula estimators are rather involved. In this paper we propose a bootstrap procedure for approximating these distributions and their characteristics, and establish its consistency. We apply the proposed bootstrap procedure for constructing confidence intervals for conditional association measures, such as a conditional Blomqvist beta and a conditional Kendall's tau. The performances of the proposed methods are investigated via a simulation study involving a variety of models, ranging from models in which the dependence (weak or strong) on the covariate is only through the copula and not through the marginals, to models in which this dependence appears in both the copula and the marginal distributions. As a conclusion we provide practical recommendations for constructing bootstrap-based confidence intervals for the discussed conditional association measures.     

Approximate conditional inference and the linear functional model

Approximate conditional inference is developed for the slope parameter of the linear functional model with two variables. It is shown that the model can be transformed so that the slope parameter becomes an angle and nuisance parameters are radial distances. If the nuisance parameters are known an exact confidence interval based on a location-type conditional distribution is available for the angle. More gen¬erally, confidence distributions are used to average the conditional distribution over the nuisance parameters yielding an approximate conditional confidence interval that reflects the precision indicated by the data. An example is analyzed.     

On the simple step-stress model for two-parameter exponential distribution

In this paper, we consider the simple step-stress model for a two-parameter exponential distribution, when both the parameters are unknown and the data are Type-II censored. It is assumed that under two different stress levels, the scale parameter only changes but the location parameter remains unchanged. It is observed that the maximum likelihood estimators do not always exist. We obtain the maximum likelihood estimates of the unknown parameters whenever they exist. We provide the exact conditional distributions of the maximum likelihood estimators of the scale parameters. Since the construction of the exact confidence intervals is very difficult from the conditional distributions, we propose to use the observed Fisher Information matrix for this purpose. We have suggested to use the bootstrap method for constructing confidence intervals. Bayes estimates and associated credible intervals are obtained using the importance sampling technique. Extensive simulations are performed to compare the performances of the different confidence and credible intervals in terms of their coverage percentages and average lengths. The performances of the bootstrap confidence intervals are quite satisfactory even for small sample sizes.     

On the construction of Bayes–confidence regions

We obtain approximate Bayes–confidence intervals for a scalar parameter based on directed likelihood. The posterior probabilities of these intervals agree with their unconditional coverage probabilities to fourth order, and with their conditional coverage probabilities to third order. These intervals are constructed for arbitrary smooth prior distributions. A key feature of the construction is that log-likelihood derivatives beyond second order are not required, unlike the asymptotic expansions of Severini.     

Bayesian confidence intervals for means and variances of lognormal and bivariate lognormal distributions

The lognormal distribution is currently used extensively to describe the distribution of positive random variables. This is especially the case with data pertaining to occupational health and other biological data. One particular application of the data is statistical inference with regards to the mean of the data. Other authors, namely Zou et al. (2009), have proposed procedures involving the so-called “method of variance estimates recovery” (MOVER), while an alternative approach based on simulation is the so-called generalized confidence interval, discussed by Krishnamoorthy and Mathew (2003). In this paper we compare the performance of the MOVER-based confidence interval estimates and the generalized confidence interval procedure to coverage of credibility intervals obtained using Bayesian methodology using a variety of different prior distributions to estimate the appropriateness of each. An extensive simulation study is conducted to evaluate the coverage accuracy and interval width of the proposed methods. For the Bayesian approach both the equal-tail and highest posterior density (HPD) credibility intervals are presented. Various prior distributions (Independence Jeffreys' prior, Jeffreys'-Rule prior, namely, the square root of the determinant of the Fisher Information matrix, reference and probability-matching priors) are evaluated and compared to determine which give the best coverage with the most efficient interval width. The simulation studies show that the constructed Bayesian confidence intervals have satisfying coverage probabilities and in some cases outperform the MOVER and generalized confidence interval results. The Bayesian inference procedures (hypothesis tests and confidence intervals) are also extended to the difference between two lognormal means as well as to the case of zero-valued observations and confidence intervals for the lognormal variance. In the last section of this paper the bivariate lognormal distribution is discussed and Bayesian confidence intervals are obtained for the difference between two correlated lognormal means as well as for the ratio of lognormal variances, using nine different priors.     

Exact uniformly most powerful postselection confidence distributions

A conditioning on the event of having selected one model from a set of possibly misspecified normal linear regression models leads to the construction of uniformly optimal conditional confidence distributions. They can be used for valid postselection inference. The constructed conditional confidence distributions are finite sample exact and encompass all information regarding the focus parameter in the selected model. This includes the construction of optimal postselection confidence intervals at all significance levels and uniformly most powerful hypothesis tests.     

Bootstrap confidence intervals of generalized process capability index Cpyk for Lindley and power Lindley distributions

One of the indicators for evaluating the capability of a process is the process capability index. In this article, bootstrap confidence intervals of the generalized process capability index (GPCI) proposed by Maiti et al. are studied through simulation, when the underlying distributions are Lindley and Power Lindley distributions. The maximum likelihood method is used to estimate the parameters of the models. Three bootstrap confidence intervals namely, standard bootstrap (SB), percentile bootstrap (PB), and bias-corrected percentile bootstrap (BCPB) are considered for obtaining confidence intervals of GPCI. A Monte Carlo simulation has been used to investigate the estimated coverage probabilities and average width of the bootstrap confidence intervals. Simulation results show that the estimated coverage probabilities of the percentile bootstrap confidence interval and the bias-corrected percentile bootstrap confidence interval get closer to the nominal confidence level than those of the standard bootstrap confidence interval. Finally, three real datasets are analyzed for illustrative purposes.     

Conditionally least-informative distributions: the case of the location parameter

We extend a basic result of Huber's on least favorable distributions to the setting of conditional inference, using an approach based on the notion of log-Gâteaux differentiation and perturbed models. Whereas Huber considered intervals of fixed width for location parameters and their average coverage rates, we study error models having longest confidence intervals, conditional on the location configuration of the sample. Our version of the problem does not have a global solution, but one that changes from configuration to configuration. Asymptotically, the conditionally least-informative shape minimizes the conditional Fisher information. We characterize the asymptotic solution within Huber's contamination model.     

A class of confidence intervals for sequential phase II clinical trials with binary outcome

The phase II clinical trials often use the binary outcome. Thus, accessing the success rate of the treatment is a primary objective for the phase II clinical trials. Reporting confidence intervals is a common practice for clinical trials. Due to the group sequence design and relatively small sample size, many existing confidence intervals for phase II trials are much conservative. In this paper, we propose a class of confidence intervals for binary outcomes. We also provide a general theory to assess the coverage of confidence intervals for discrete distributions, and hence make recommendations for choosing the parameter in calculating the confidence interval. The proposed method is applied to Simon's [14] optimal two-stage design with numerical studies. The proposed method can be viewed as an alternative approach for the confidence interval for discrete distributions in general.     

Bayesian prediction of unobserved values for Type-II censored data

In this paper, we consider posterior predictive distributions of Type-II censored data for an inverse Weibull distribution. These functions are given by using conditional density functions and conditional survival functions. Although the conditional survival functions were expressed by integral forms in previous studies, we derive the conditional survival functions in closed forms and thereby reduce the computation cost. In addition, we calculate the predictive confidence intervals of unobserved values and coverage probabilities of unobserved values by using the posterior predictive survival functions.     

One-sided confidence intervals in discrete distributions

One-sided confidence intervals in the binomial, negative binomial, and Poisson distributions are considered. It is shown that the standard Wald interval suffers from a serious systematic bias in the coverage and so does the one-sided score interval. Alternative confidence intervals with better performance are considered. The coverage and length properties of the confidence intervals are compared through numerical and analytical calculations. Implications to hypothesis testing are also discussed.     

Confidence curves and improved exact confidence intervals for discrete distributions

The author describes a method for improving standard “exact” confidence intervals in discrete distributions with respect to size while retaining correct level. The binomial, negative binomial, hypergeometric, and Poisson distributions are considered explicitly. Contrary to other existing methods, the author's solution possesses a natural nesting condition: if α < α', the 1 ‐ α' confidence interval is included in the 1 ‐ α interval. Nonparametric confidence intervals for a quantile are also considered.     

Comparison of Interval Estimators of Pr(X < Y) in the Two-parameter Exponential Distribution

We consider confidence intervals for the stress–strength reliability Pr(X< Y) in the two-parameter exponential distribution. We have derived the Bayesian highest posterior density interval using non-informative prior distributions. We have compared its performance with the intervals based on the generalized pivot variable intervals in terms of their coverage probabilities and expected lengths. Our simulation study shows that the Bayesian interval performs better according to the criteria used, especially when the sample sizes are very small. An example is given.     

On the robustness of empirical likelihood ratio confidence intervals for location

The authors examine the robustness of empirical likelihood ratio (ELR) confidence intervals for the mean and M‐estimate of location. They show that the ELR interval for the mean has an asymptotic breakdown point of zero. They also give a formula for computing the breakdown point of the ELR interval for M‐estimate. Through a numerical study, they further examine the relative advantages of the ELR interval to the commonly used confidence intervals based on the asymptotic distribution of the M‐estimate.     

Robust Confidence Intervals for Regression Parameters

The paper considers the problem of finding accurate small sample confidence intervals for regression parameters. Its approach is to construct conditional intervals with good robustness characteristics. This robustness is obtained by the choice of the density under which the conditional interval is computed. Both bounded influence and S-estimate style intervals are given. The required tail area computations are carried out using the results of DiCiccio, Field & Fraser (1990).     

Exact inferences of the two-parameter exponential distribution and Pareto distribution with censored data

We develop an exact inference for the location and the scale parameters of the two-exponential distribution and the Pareto distribution based on their maximum-likelihood estimators from the doubly Type-II and the progressive Type-II censored sample. Based on some pivotal quantities, exact confidence intervals and tests of hypotheses are constructed. Exact distributions of the pivotal quantities are expressed as mixtures of linear combinations and of ratios of linear combinations of standard exponential random variables, which facilitates the computation of quantiles of these pivotal quantities. We also provide a bootstrap method for constructing a confidence interval. Some simulation studies are carried out to assess their performances. Using the exact distribution of the scale parameter, we establish an acceptance sampling procedure based on the lifetime of the unit. Some numerical results are tabulated for the illustration. One biometrical example is also given to illustrate the proposed methods.     

On the least-squares model averaging interval estimator

In many applications of linear regression models, randomness due to model selection is commonly ignored in post-model selection inference. In order to account for the model selection uncertainty, least-squares frequentist model averaging has been proposed recently. We show that the confidence interval from model averaging is asymptotically equivalent to the confidence interval from the full model. The finite-sample confidence intervals based on approximations to the asymptotic distributions are also equivalent if the parameter of interest is a linear function of the regression coefficients. Furthermore, we demonstrate that this equivalence also holds for prediction intervals constructed in the same fashion.     

Further remarks on asymptotic normality of likelihood and conditional analyses

Under weak conditions the normalized likelihood with or without weight function almost surely converges to a normal density function: for a real parameter or a vector parameter; with or without the assumption of independent identical distributions. Applications arise for confidence intervals, confidence distributions, structural distributions. and conditional analyses with transformation and structural models.     

Reliability of stress–strength model for exponentiated Pareto distributions

In this paper, the reliability of a system is discussed when the strength of the system and the stress imposed on it are independent, non-identical exponentiated Pareto distributed random variables. Different point estimations and interval estimations are proposed. The point estimators obtained are maximum likelihood, uniformly minimum variance unbiased and Bayesian estimators. The interval estimations obtained are approximate, exact, bootstrap-p and bootstrap-t confidence intervals and Bayesian credible interval. Different methods and the corresponding confidence intervals are compared using Monte-carlo simulations.