期刊名称：Sankhya. Series A, mathematical statistics and probability
印刷版ISSN：0976-836X
电子版ISSN：0976-8378
出版年度：2014
卷号：76
期号：2
页码：288-304
DOI：10.1007/s13171-013-0046-8
语种：English
出版社：Indian Statistical Institute
摘要：An important problem in statistics is the construction of confidence regions for unknown parameters. In most cases, asymptotic distribution theory is used to construct confidence regions, so any coverage probability claims only hold approximately, for large samples. This paper describes a new approach, using random sets, which allows users to construct exact confidence regions without appeal to asymptotic theory. In particular, if the user-specified random set satisfies a certain validity property, confidence regions obtained by thresholding the induced data-dependent plausibility function are shown to have the desired coverage probability.
关键词：Coverage probability ; inferential model ; plausibility function ; predictive random set ; validity
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