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STOR Colloquium: Peter Hoff, Duke University

February 13, 2017 @ 2:30 pm - 3:30 pm

Peter Hoff

Duke University

Adaptive FAB confidence intervals with constant coverage

 

Abstract: Confidence intervals for the means of multiple normal populations are often based on a hierarchical normal model. While commonly used interval procedures based on such a model have the nominal coverage rate on average across a population of groups, their actual coverage rate for a given group will be above or below the nominal rate, depending on the value of the group mean.

 

In this talk I present confidence interval procedures that have constant frequentist coverage rates and that make use of information about across-group heterogeneity, resulting in constant-coverage intervals that are narrower than standard t-intervals on average across groups. These intervals are obtained by inverting Bayes-optimal frequentist tests, and so are “frequentist, assisted by Bayes” (FAB). I present some asymptotic optimality results and some extensions to other multiparameter models, such as linear regression.

Refreshments will be served at 3:00pm in the 3rd floor lounge of Hanes Hall

Details

Date:
February 13, 2017
Time:
2:30 pm - 3:30 pm
Event Category:

Venue

Hanes Hall