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- Publisher Website: 10.1111/j.1467-9868.2011.01006.x
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Article: Hybrid confidence regions based on data depth
Title | Hybrid confidence regions based on data depth |
---|---|
Authors | |
Keywords | Data Depth Hybrid Confidence Region Pivot Robustness |
Issue Date | 2012 |
Publisher | Wiley-Blackwell Publishing Ltd. The Journal's web site is located at http://www.blackwellpublishing.com/journals/RSSB |
Citation | Journal Of The Royal Statistical Society. Series B: Statistical Methodology, 2012, v. 74 n. 1, p. 91-109 How to Cite? |
Abstract | We consider the general problem of constructing confidence regions for, possibly multi-dimensional, parameters when we have available more than one approach for the construction. These approaches may be motivated by different model assumptions, different levels of approximation, different settings of tuning parameters or different Monte Carlo algorithms. Their effectiveness is often governed by different sets of conditions which are difficult to vindicate in practice. We propose two procedures for constructing hybrid confidence regions which endeavour to integrate all such individual approaches. The procedures employ the concept of data depth to calibrate the confidence region in two different ways, the first rendering its coverage error minimax and the second rendering its coverage error conservative. The resulting region reconciles in many important aspects the discrepancies between the various approaches, and is robust against misspecification of their governing conditions. Theoretical and empirical properties of our procedures are investigated in comparison with those of the constituent individual approaches. © 2011 Royal Statistical Society. |
Persistent Identifier | http://hdl.handle.net/10722/172490 |
ISSN | 2023 Impact Factor: 3.1 2023 SCImago Journal Rankings: 4.330 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Lee, SMS | en_US |
dc.date.accessioned | 2012-10-30T06:22:46Z | - |
dc.date.available | 2012-10-30T06:22:46Z | - |
dc.date.issued | 2012 | en_US |
dc.identifier.citation | Journal Of The Royal Statistical Society. Series B: Statistical Methodology, 2012, v. 74 n. 1, p. 91-109 | en_US |
dc.identifier.issn | 1369-7412 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/172490 | - |
dc.description.abstract | We consider the general problem of constructing confidence regions for, possibly multi-dimensional, parameters when we have available more than one approach for the construction. These approaches may be motivated by different model assumptions, different levels of approximation, different settings of tuning parameters or different Monte Carlo algorithms. Their effectiveness is often governed by different sets of conditions which are difficult to vindicate in practice. We propose two procedures for constructing hybrid confidence regions which endeavour to integrate all such individual approaches. The procedures employ the concept of data depth to calibrate the confidence region in two different ways, the first rendering its coverage error minimax and the second rendering its coverage error conservative. The resulting region reconciles in many important aspects the discrepancies between the various approaches, and is robust against misspecification of their governing conditions. Theoretical and empirical properties of our procedures are investigated in comparison with those of the constituent individual approaches. © 2011 Royal Statistical Society. | en_US |
dc.language | eng | en_US |
dc.publisher | Wiley-Blackwell Publishing Ltd. The Journal's web site is located at http://www.blackwellpublishing.com/journals/RSSB | en_US |
dc.relation.ispartof | Journal of the Royal Statistical Society. Series B: Statistical Methodology | en_US |
dc.subject | Data Depth | en_US |
dc.subject | Hybrid Confidence Region | en_US |
dc.subject | Pivot | en_US |
dc.subject | Robustness | en_US |
dc.title | Hybrid confidence regions based on data depth | en_US |
dc.type | Article | en_US |
dc.identifier.email | Lee, SMS: smslee@hku.hk | en_US |
dc.identifier.authority | Lee, SMS=rp00726 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.doi | 10.1111/j.1467-9868.2011.01006.x | en_US |
dc.identifier.scopus | eid_2-s2.0-84856019736 | en_US |
dc.identifier.hkuros | 210023 | - |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-84856019736&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 74 | en_US |
dc.identifier.issue | 1 | en_US |
dc.identifier.spage | 91 | en_US |
dc.identifier.epage | 109 | en_US |
dc.identifier.eissn | 1467-9868 | - |
dc.identifier.isi | WOS:000299203400005 | - |
dc.publisher.place | United Kingdom | en_US |
dc.identifier.scopusauthorid | Lee, SMS=24280225500 | en_US |
dc.identifier.issnl | 1369-7412 | - |