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Activity Number: 499 - Nonparametric Multiple Comparison in High Dimensions with Model Uncertainity
Type: Topic Contributed
Date/Time: Wednesday, August 2, 2017 : 10:30 AM to 12:20 PM
Sponsor: Section on Nonparametric Statistics
Abstract #323278 View Presentation
Title: Simultaneous Confidence Intervals from Stochastic Approximation
Author(s): Rongji Mu* and Cui Xiong and Jin Xu
Companies: East China Normal University and East China Normal University and East China Normal University
Keywords: Simultaneous confidence interval ; Stochastic approximation ; Sequential design

We propose a method of constructing simultaneous confidence intervals of a vector of location parameters from stochastic approximation. The proposed method uses the approach of inverting a sequential test to estimate the generalized multivairate quantile which is uniquely defined under some criterion. We demonstrate the superiority of the method in terms of coverage and convergence over competing nonparamatric methods by simulation.Application to a real data is illustrated.

Authors who are presenting talks have a * after their name.

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