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2008 A rigorous lower confidence bound for the expectation of a positive random variable
Yoram Gat
Electron. J. Statist. 2: 1021-1027 (2008). DOI: 10.1214/08-EJS308

Abstract

Given an IID sample from a positive distribution, we provide a method for constructing rigorous finite sample lower confidence bounds for the expectation of the distribution. The method is based on constructing rigorous confidence regions for the cdf of the distribution. We provide some analysis of the asymptotical behavior of the rigorous LCBs. We apply the method to obtain an LCB for a particular, controversial, empirical data set, where the validity of standard methods has been called into question.

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Yoram Gat. "A rigorous lower confidence bound for the expectation of a positive random variable." Electron. J. Statist. 2 1021 - 1027, 2008. https://doi.org/10.1214/08-EJS308

Information

Published: 2008
First available in Project Euclid: 27 October 2008

zbMATH: 1320.62105
MathSciNet: MR2448603
Digital Object Identifier: 10.1214/08-EJS308

Subjects:
Primary: 62G15
Secondary: 62G30

Rights: Copyright © 2008 The Institute of Mathematical Statistics and the Bernoulli Society

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