Error estimation in the method of quasi-optimal weights
Abstract
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.
- Publication:
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arXiv e-prints
- Pub Date:
- May 2020
- DOI:
- 10.48550/arXiv.2005.12554
- arXiv:
- arXiv:2005.12554
- Bibcode:
- 2020arXiv200512554M
- Keywords:
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- Physics - Data Analysis;
- Statistics and Probability
- E-Print:
- 16 pages