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Confidence intervals through sequential Monte Carlo

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  • Silva, Ivair R.

Abstract

Usually, confidence intervals are built through inversion of a hypothesis test. When the analytical shape of the test statistic distribution is unknown, Monte Carlo simulation can be used to construct the interval. In this direction, a sequential Monte Carlo method for interval estimation is introduced. The method produces intervals with guaranteed confidence coefficients. Because in practice one always needs to establish a truncation on the number of simulations, a simple rule of thumb is offered for choosing the number of simulations as a function of desired upper bounds for the coverage probability. As a novelty in the literature, the sequential Monte Carlo method presents equivalence with the conventional Monte Carlo test. In terms of performance, the superiority of the proposed method is illustrated for two different problems, estimation of gamma distribution means, and estimation of population sizes based on mark-recapture sampling. An example of application for real data is offered for relative risk estimation following the circular spatial scan test.

Suggested Citation

  • Silva, Ivair R., 2017. "Confidence intervals through sequential Monte Carlo," Computational Statistics & Data Analysis, Elsevier, vol. 105(C), pages 112-124.
    • Handle: RePEc:eee:csdana:v:105:y:2017:i:c:p:112-124
    DOI: 10.1016/j.csda.2016.07.017
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    References listed on IDEAS

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    1. Hristos Tyralis & Demetris Koutsoyiannis & Stefanos Kozanis, 2013. "An algorithm to construct Monte Carlo confidence intervals for an arbitrary function of probability distribution parameters," Computational Statistics, Springer, vol. 28(4), pages 1501-1527, August.
    2. Alexander Shapiro & Jos Berge, 2002. "Statistical inference of minimum rank factor analysis," Psychometrika, Springer;The Psychometric Society, vol. 67(1), pages 79-94, March.
    3. Silva, Ivair R. & Assunção, Renato M., 2013. "Optimal generalized truncated sequential Monte Carlo test," Journal of Multivariate Analysis, Elsevier, vol. 121(C), pages 33-49.
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    Cited by:

    1. Silva, Ivair R. & Duczmal, Luiz & Kulldorff, Martin, 2021. "Confidence intervals for spatial scan statistic," Computational Statistics & Data Analysis, Elsevier, vol. 158(C).

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