19,044 research outputs found

    Random sets and exact confidence regions

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    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.Comment: 14 pages, 2 figure

    On nonparametric estimation of a mixing density via the predictive recursion algorithm

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    Nonparametric estimation of a mixing density based on observations from the corresponding mixture is a challenging statistical problem. This paper surveys the literature on a fast, recursive estimator based on the predictive recursion algorithm. After introducing the algorithm and giving a few examples, I summarize the available asymptotic convergence theory, describe an important semiparametric extension, and highlight two interesting applications. I conclude with a discussion of several recent developments in this area and some open problems.Comment: 22 pages, 5 figures. Comments welcome at https://www.researchers.one/article/2018-12-