Error estimation in the method of quasi-optimal weights

26 May 2020  ·  Morozov A. D., Lokhov A. V., Tkachov F. V. ·

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. read more

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Data Analysis, Statistics and Probability