Computing highly accurate confidence limits from discrete data using importance sampling

DOI10.1007/S11222-013-9409-1MaRDI QIDQ892812zbMATH OpenOpenAlexFDO

Authors Chris J. Lloyd, Degui Li

Publication date 12 November 2015

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11222-013-9409-1

zbMATH Keywords

Robbins-Monro algorithmstochastic approximationprofile upper limits

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Stochastic approximation (62L20)

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Cites work

• scientific article; zbMATH DE number 1104922 (Why is no real title available?)
• A Newton-Raphson version of the multivariate Robbins-Monro procedure
• A Note on the Robbins-Monro Stochastic Approximation Method
• A Stochastic Approximation Method
• Acceleration of Stochastic Approximation by Averaging
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Generating Monte Carlo Confidence Intervals by the Robbins-Monro Process
• Handbook of Monte Carlo Methods
• Improved Buehler limits based on refined designated statistics
• Methods of reducing sample size in Monte Carlo computations
• On a Stochastic Approximation Method
• On large deviations theory and asymptotically efficient Monte Carlo estimation
• SOME PROPERTIES OF PROFILE BOOTSTRAP CONFIDENCE INTERVALS
• Safe and Effective Importance Sampling
• Test Inversion Bootstrap Confidence Intervals
• Theory & Methods: Profile upper Confidence Limits from Discrete Data

Cited in

(5)

• Importance accelerated Robbins-Monro recursion with applications to parametric confidence limits
• Better confidence intervals for importance sampling
• Conservative confidence intervals for the intraclass correlation coefficient for clustered binary data
• Computing highly accurate or exact \(P\)-values using importance sampling
• Random weighting-based quantile estimation via importance resampling

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