Computing highly accurate confidence limits from discrete data using importance sampling

DOI10.1007/S11222-013-9409-1zbMATH Open1325.62154OpenAlexW2109401020MaRDI QIDQ892812FDOQ892812

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

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zbMATH Keywords

Robbins-Monro algorithmstochastic approximationprofile upper limits

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Improved Buehler limits based on refined designated statistics
• A Newton-Raphson version of the multivariate Robbins-Monro procedure
• Acceleration of Stochastic Approximation by Averaging
• A Stochastic Approximation Method
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Safe and Effective Importance Sampling
• On large deviations theory and asymptotically efficient Monte Carlo estimation
• Handbook of Monte Carlo Methods
• Methods of reducing sample size in Monte Carlo computations
• On a Stochastic Approximation Method
• Generating Monte Carlo Confidence Intervals by the Robbins-Monro Process
• Theory & Methods: Profile upper Confidence Limits from Discrete Data
• A Note on the Robbins-Monro Stochastic Approximation Method
• Test Inversion Bootstrap Confidence Intervals
• SOME PROPERTIES OF PROFILE BOOTSTRAP CONFIDENCE INTERVALS

Cited In (5)

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

Uses Software

• bootlib

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