Small-Sample Confidence Intervals
小样本置信区间
In this article we present a technique for constructing one- or two-sided confidence intervals, which are second-order correct in terms of coverage, for either parametric or nonparametric problems. The construction is valid in the presence of nuisance parameters. The situation we consider is this: there are p parameters and we want a confidence interval for some function of them, possibly one of the parameters itself. The p parameters are estimated by M-estimates, which…