Confidence intervals in regression utilizing prior information

DOI10.1016/J.JSPI.2009.03.018zbMATH Open1167.62027arXiv0711.3236OpenAlexW2038831445MaRDI QIDQ128935FDOQ128935

Authors: Paul Kabaila, Khageswor Giri, Khageswor Giri, Paul Kabaila 

Publication date: October 2009

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Abstract: We consider a linear regression model with regression parameter beta=(beta_1,...,beta_p) and independent and identically N(0,sigma^2) distributed errors. Suppose that the parameter of interest is theta = a^T beta where a is a specified vector. Define the parameter tau=c^T beta-t where the vector c and the number t are specified and a and c are linearly independent. Also suppose that we have uncertain prior information that tau = 0. We present a new frequentist 1-alpha confidence interval for theta that utilizes this prior information. We require this confidence interval to (a) have endpoints that are continuous functions of the data and (b) coincide with the standard 1-alpha confidence interval when the data strongly contradicts this prior information. This interval is optimal in the sense that it has minimum weighted average expected length where the largest weight is given to this expected length when tau=0. This minimization leads to an interval that has the following desirable properties. This interval has expected length that (a) is relatively small when the prior information about tau is correct and (b) has a maximum value that is not too large. The following problem will be used to illustrate the application of this new confidence interval. Consider a 2-by 2 factorial experiment with 20 replicates. Suppose that the parameter of interest theta is a specified simple effect and that we have uncertain prior information that the two-factor interaction is zero. Our aim is to find a frequentist 0.95 confidence interval for theta that utilizes this prior information.

Full work available at URL: https://arxiv.org/abs/0711.3236

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zbMATH Keywords

linear regressionprior informationfrequentist confidence interval

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Parametric tolerance and confidence regions (62F25) Factorial statistical designs (62K15)

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Cited In (28)

• Confidence intervals for the normal mean utilizing prior information
• Exact model averaged tail area confidence intervals
• Large-sample confidence intervals for the treatment difference in a two-period crossover trial, utilizing prior information
• Computation of the expected value of a function of a chi-distributed random variable
• Lower bounds on integrated risk, subject to inequality constraints
• Confidence intervals centred on bootstrap smoothed estimators: an impossibility result
• Confidence intervals centred on bootstrap smoothed estimators
• An alternative to confidence intervals constructed after a Hausman pretest in panel data
• Confidence intervals in regression that utilize uncertain prior information about a vector parameter
• Confidence intervals in regression centred on the SCAD estimator
• Confidence intervals in general regression models that utilize uncertain prior information
• A comparison of Bayesian and frequentist interval estimators in regression that utilize uncertain prior information
• Confidence intervals utilizing prior information in the Behrens-Fisher problem
• Frequentist and Bayesian interval estimators for the normal mean
• Admissibility of the usual confidence interval for the normal mean
• Model-averaged confidence intervals
• Further properties of frequentist confidence intervals in regression that utilize uncertain prior information
• Model averaged tail area confidence intervals in nested linear regression models
• Simultaneous confidence intervals for the population cell means, for two-by-two factorial data, that utilize uncertain prior information
• Finite sample properties of confidence intervals centered on a model averaged estimator
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• Confidence intervals in regression utilizing prior information
• Exact adaptive confidence intervals for linear regression coefficients
• On confidence intervals centred on bootstrap smoothed estimators
• CONFIDENCE INTERVALS IN GENERAL REGRESSION MODELS THAT UTILISE UNCERTAIN PRIOR INFORMATION
• The coverage properties of confidence regions after model selection
• Admissibility of the usual confidence interval in linear regression
• The minimum coverage probability of confidence intervals in regression after a preliminary \(F\) test

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