Advances and Applications in Statistics
Volume 32, Issue 1, Pages 33 - 56
(January 2013)
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ACCURATE CONFIDENCE REGIONS BASED ON MLEs
Jan Vrbik
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Abstract: We deal with the problem of constructing accurate confidence regions for values of several unknown parameters, based on a random independent sample from the corresponding distribution. Building on the fact that a simple transformation of the likelihood function has, approximately, the chi-square distribution, we substantially improve this approximation by including corrections inversely proportional to the sample size. |
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