Edgeworth Corrected Generalized Confldence Intervals

摘要: Generalized confldence intervals provide for complicated parametric functions in many common practical problems. They do not have exact frequentist coverage general, but often close to the nominal value and correct asymptotic cover- age. However, applications generalized satisfactory flnite sample performance. We derive expansions quantities associated with one- sided intervals, which helps explain above limited then show how use these obtain improved by suitable calibration. implement ideas a few examples demonstrate performance of corrected intervals. AMS 2000 subject classiflcations: Primary 62F25; secondary 62F05, 62F40, 62J10. Keywords phrases: Average bioequivalence, Behrens-Fisher prob- lem, bootstrap, Cornish-Fisher expansion, probability, Edgeworth pivot..