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Conditional Confidence Statements and Confidence Estimators

J. Kiefer
Journal of the American Statistical Association
Vol. 72, No. 360 (Dec., 1977), pp. 789-808
DOI: 10.2307/2286460
Stable URL: http://www.jstor.org/stable/2286460
Page Count: 20
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Conditional Confidence Statements and Confidence Estimators
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Abstract

Procedures are given for assessing the conclusiveness of a decision in terms of a (chance) conditional confidence coefficient Γ that has frequentist interpretability analogous to that of a traditional confidence coefficient. Properties of such procedures are compared in terms of the distribution of Γ. This leads to recommendations on the choice of conditioning. Also, a methodology for estimating the confidence when it depends on unknown parameter values is given. The notions of confidence are not limited to interval estimation; examples are also given in hypothesis testing and selection problems and in nonparametric and sequential settings.

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