A Geometric Approach to Confidence Sets for Ratios: Fieller's Theorem, Generalizations, and Bootstrap

MaRDI QIDQ5325818zbMATHFDO

Authors Ulrike Von Luxburg, Volker H. Franz

Publication date 24 July 2009

Full work available at URL https://arxiv.org/abs/0711.0198

zbMATH Keywords

bootstraptablesconfidence intervalratioFieller's theoremindex variable

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Parametric tolerance and confidence regions (62F25) Nonparametric tolerance and confidence regions (62G15)

Abstract: We present a geometric method to determine confidence sets for the ratio E(Y)/E(X) of the means of random variables X and Y. This method reduces the problem of constructing confidence sets for the ratio of two random variables to the problem of constructing confidence sets for the means of one-dimensional random variables. It is valid in a large variety of circumstances. In the case of normally distributed random variables, the so constructed confidence sets coincide with the standard Fieller confidence sets. Generalizations of our construction lead to definitions of exact and conservative confidence sets for very general classes of distributions, provided the joint expectation of (X,Y) exists and the linear combinations of the form aX + bY are well-behaved. Finally, our geometric method allows to derive a very simple bootstrap approach for constructing conservative confidence sets for ratios which perform favorably in certain situations, in particular in the asymmetric heavy-tailed regime.

Recommendations

• Improved confidence estimators for Fieller's confidence sets
• Generalized confidence intervals for the ratio of means of two normal populations
• Simultaneous confidence sets and confidence intervals for multiple ratios
• A characterization of the Fieller solution
• Bootstrap confidence intervals for ratios of expectations

Cited in

(11)

• A geometric comparison of the Delta and Fieller confidence intervals
• Confidence bounds for multiplicative comparisons
• Inverting the indirect -- the ellipse and the boomerang: visualizing the confidence intervals of the structural coefficient from two-stage least squares
• Bootstrap confidence intervals for ratios of expectations
• Identification robust confidence set methods for inference on parameter ratios with application to discrete choice models
• A characterization of the Fieller solution
• The polar confidence curve for a ratio
• Some Remarks on the Estimation of the Ratio of the Expectation Values of a Two‐dimensional Normal Random Variable (Correction of the Theorem of Milliken)
• Inferential methods for elasticity estimates
• Two geometric representations of confidence intervals for ratios of linear combinations of regression parameters: an application to the NAIRU
• Simultaneous confidence sets and confidence intervals for multiple ratios

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