Confidence intervals for average success probabilities
Statistics Theory
2014-12-09 v3 Statistics Theory
Abstract
We provide Buehler-optimal one-sided and some valid two-sided confidence intervals for the average success probability of a possibly inhomogeneous fixed length Bernoulli chain, based on the number of observed successes. Contrary to some claims in the literature, the one-sided Clopper-Pearson intervals for the homogeneous case are not completely robust here, not even if applied to hypergeometric estimation problems.
Cite
@article{arxiv.1403.0229,
title = {Confidence intervals for average success probabilities},
author = {Lutz Mattner and Christoph Tasto},
journal= {arXiv preprint arXiv:1403.0229},
year = {2014}
}
Comments
Revised version for: Probability and Mathematical Statistics. Two remarks added