条件密度置信区间的覆盖精度

Coverage Accuracy of Confidence Intervals for a Conditional Probability Density Function

摘要: 本文用经验似然方法讨论了条件密度的置信区间的构造. 通过对覆盖概率的Edgeworth展开得到了经验似然置信区间的覆盖精度, 同时证明了条件密度的经验似然置信区间的Bartlett可修正性

Abstract: Point-wise confidence intervals for a conditional probability density function are considered. The confidence intervals are based on the empirical likelihood. Their coverage accuracy is assessed by developing Edgeworth expansions for the coverage probabilities. It is shown that the empirical likelihood confidence intervals are Bartlett correctable.