Paradoxes and Improvements in Interval

Estimation
Helge Blaker & Emil Spjtvoll

Raiden Hasegawa
University of Pennsylvania

Stat 550 Presentation December 9, 2014

A Road Map

A Road Map

MOTIVATING PROBLEM:

A Road Map

MOTIVATING PROBLEM:
Interval estimation procedures can yield paradoxical results, even in
simple settings.

A Road Map

MOTIVATING PROBLEM:
Interval estimation procedures can yield paradoxical results, even in
simple settings.
PLAN:

A Road Map

MOTIVATING PROBLEM:
Interval estimation procedures can yield paradoxical results, even in
simple settings.
PLAN:
1. Conceptual limitations of standard inferential methods.

A Road Map

MOTIVATING PROBLEM:
Interval estimation procedures can yield paradoxical results, even in
simple settings.
PLAN:
1. Conceptual limitations of standard inferential methods.
2. A potential graphical alternative.

A Road Map

MOTIVATING PROBLEM:
Interval estimation procedures can yield paradoxical results, even in
simple settings.
PLAN:
1. Conceptual limitations of standard inferential methods.
2. A potential graphical alternative.
3. An illustrative example.

The Setup

The Setup

Suppose you have data X from some model P and youd like to
conduct two-sided inference on R.

The Setup

Suppose you have data X from some model P and youd like to
conduct two-sided inference on R.
The standard workhorses for inference:

The Setup

Suppose you have data X from some model P and youd like to
conduct two-sided inference on R.
The standard workhorses for inference:
1. Hypothesis Testing: H0 : = 0 with p-value
p(0 , x) = inf {x (0 )}.

The Setup

Suppose you have data X from some model P and youd like to
conduct two-sided inference on R.
The standard workhorses for inference:
1. Hypothesis Testing: H0 : = 0 with p-value
p(0 , x) = inf {x (0 )}.

2. Interval Estimation: C (X ) = { : p(, x) }.

P-value or Confidence Interval?

P-value or Confidence Interval?

Which is better?

P-value or Confidence Interval?

Which is better? Neither.

P-value or Confidence Interval?

Which is better? Neither.
(1 - ) CI

P-value or Confidence Interval?

Which is better? Neither.
(1 - ) CI

(1 - ) CI
b

p(B , x) p(I , x) ?

A richer picture: Confidence Curves

A richer picture: Confidence Curves

Given a confidence procedure for a parameter, a confidence curve

consists of all possible confidence sets at all confidence levels.

A richer picture: Confidence Curves

Given a confidence procedure for a parameter, a confidence curve

consists of all possible confidence sets at all confidence levels.
More formally we can write this as
(, x) = sup { C ()}
where C C0 for > 0 (nested).

A richer picture: Confidence Curves

Given a confidence procedure for a parameter, a confidence curve

consists of all possible confidence sets at all confidence levels.
More formally we can write this as
(, x) = sup { C ()}
where C C0 for > 0 (nested).
How do we interpret this?

An example

An example
i.i.d.

Model: X1 , . . . , Xn N(, 02 ) with 0 known.

An example
i.i.d.

Model: X1 , . . . , Xn N(, 02 ) with 0 known.

Where X = 1.

Paradoxes in Interval Estimation

Paradoxes in Interval Estimation

Given a confidence curve (, x) we can now formally define the

paradoxes we mentioned earlier:

Paradoxes in Interval Estimation

Given a confidence curve (, x) we can now formally define the

paradoxes we mentioned earlier:
1. Empty Confidence Sets: max (, x) = < 1.

Paradoxes in Interval Estimation

Given a confidence curve (, x) we can now formally define the

paradoxes we mentioned earlier:
1. Empty Confidence Sets: max (, x) = < 1.
2. Infinite Confidence Sets: min (, x) = > 0.

Paradoxes in Interval Estimation

Given a confidence curve (, x) we can now formally define the

paradoxes we mentioned earlier:
1. Empty Confidence Sets: max (, x) = < 1.
2. Infinite Confidence Sets: min (, x) = > 0.
Note that non-existence of the function (, x) can diagnose a
third paradox: non-nested confidence intervals.

An Example: Infinite Confidence Interval

An Example: Infinite Confidence Interval

Suppose X N(1 , 1) and Y N(2 , 1) independent.

An Example: Infinite Confidence Interval

Suppose X N(1 , 1) and Y N(2 , 1) independent.

We want to estimate = 2 /1 , 1 6= 0.

An Example: Infinite Confidence Interval

Suppose X N(1 , 1) and Y N(2 , 1) independent.

We want to estimate = 2 /1 , 1 6= 0.
Notice that
V =

Y X
N(0, 1)
1 + 2

An Example: Infinite Confidence Interval

Suppose X N(1 , 1) and Y N(2 , 1) independent.

We want to estimate = 2 /1 , 1 6= 0.
Notice that

Y X
N(0, 1)
1 + 2
and thus V is a pivotal quantity.
V =

An Example: Infinite Confidence Interval

Suppose X N(1 , 1) and Y N(2 , 1) independent.

We want to estimate = 2 /1 , 1 6= 0.
Notice that

Y X
N(0, 1)
1 + 2
and thus V is a pivotal quantity. We can use this to construct a
V =

confidence interval by setting

2(|y x|/(1 + )1/2 ) , .

Infinite Confidence Interval

Infinite Confidence Interval

[Fieller, 1954] showed that

2
2
S(x, y ) = { : (x 2 z1/2
)2 2xy + y 2 z1/2
0}

is the corresponding 1 confidence interval for .

Infinite Confidence Interval

[Fieller, 1954] showed that

2
2
S(x, y ) = { : (x 2 z1/2
)2 2xy + y 2 z1/2
0}

is the corresponding 1 confidence interval for .

The roots of this quadratic are:
q
2
xy z1/2 x 2 + y 2 z1/2
=
.
2
x 2 z1/2

Infinite Confidence Interval

Thank You!