Error estimation in the method of quasi-optimal weights
Data Analysis, Statistics and Probability
2020-05-27 v1
Abstract
We examine the problem of construction of confidence intervals within the basic single-parameter, single-iteration variation of the method of quasi-optimal weights. Two kinds of distortions of such intervals due to insufficiently large samples are examined, both allowing an analytical investigation. First, a criterion is developed for validity of the assumption of asymptotic normality together with a recipe for the corresponding corrections. Second, a method is derived to take into account the systematic shift of the confidence interval due to the non-linearity of the theoretical mean of the weight as a function of the parameter to be estimated. A numerical example illustrates the two corrections.
Cite
@article{arxiv.2005.12554,
title = {Error estimation in the method of quasi-optimal weights},
author = {A. D. Morozov and A. V. Lokhov and F. V. Tkachov},
journal= {arXiv preprint arXiv:2005.12554},
year = {2020}
}
Comments
16 pages