Calibrating Confidence Coefficients

@inproceedings{Loh2015CalibratingCC,
  title={Calibrating Confidence Coefficients},
  author={Wei-Yin Loh},
  year={2015}
}
Two approaches for dealing with the problem of poor coverage probabilities of certain standard confidence intervals are proposed. The first is a recommendation that the actual coverage be estimated irectly from the data and its value reported in addition to the nominal level. This is achieved through a combination of computer simulation and density estimation. The asymptotic validity of the procedure is proved for a number of common situations. A classical example is the nonparametric… CONTINUE READING

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