Neyman construction
Neyman construction is a frequentist method to construct an interval at a confidence level such that if we repeat the experiment many times the interval will contain the true value of some parameter a fraction of the time. It is named after Jerzy Neyman.
Coverage probability
The probability that the interval contains the true value is called the coverage probability.
Implementation
A Neyman construction can be carried out by performing pseudo-experiments, i.e. constructing data sets corresponding to a given value of the parameter. The pseudo-experiments are fitted with conventional methods, and the space of fitted parameter values constitutes the band which the confidence interval can be selected from.
See also
References
- Neyman, J. (1937) "Outline of a Theory of Statistical Estimation Based on the Classical Theory of Probability" Philosophical Transactions of the Royal Society of London A, 236, 333-380.
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