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Graphical methods for investigating the finite-sample properties of confidence regions

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  • de Peretti, Christian
  • Siani, Carole

Abstract

No satisfactory method for measuring and presenting the performance of confidence regions can be found in the literature. Techniques for measuring the effectiveness of confidence regions and for the graphical display of simulation evidence regarding the coverage and effectiveness of confidence regions are developed and illustrated. Three types of figures are discussed: called coverage plots, coverage discrepancy plots, and coverage effectiveness curves, which makes it possible to show the "genuine" effectiveness, rather than a spurious nominal effectiveness. These figures are used to illustrate the finite sample properties of autoregressive parameter confidence regions in the context of AR(1) processes.

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  • de Peretti, Christian & Siani, Carole, 2010. "Graphical methods for investigating the finite-sample properties of confidence regions," Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 262-271, February.
    • Handle: RePEc:eee:csdana:v:54:y:2010:i:2:p:262-271
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    References listed on IDEAS

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    Cited by:

    1. Arteche, Josu, 2024. "Bootstrapping long memory time series: Application in low frequency estimators," Econometrics and Statistics, Elsevier, vol. 29(C), pages 1-15.
    2. Dashi I. Singham & Lee W. Schruben, 2012. "Finite-Sample Performance of Absolute Precision Stopping Rules," INFORMS Journal on Computing, INFORMS, vol. 24(4), pages 624-635, November.

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