Abstract
Interval- and set-valued decisions are an essential part of statistical inference. Despite this, the justification behind them is often unclear, leading in practice to a great deal of confusion about exactly what is being presented. In this paper we review and attempt to unify several competing methods of interval-construction, within a formal decision-theoretic framework. The result is a new emphasis on interval-estimation as a distinct goal, and not as an afterthought to point estimation. We also see that representing intervals as trade-offs between measures of precision and bias unifies many existing approaches -- as well as suggesting interpretable criteria to calibrate this trade-off. The novel statistical arguments produced allow many extensions, and we apply these to resolve several outstanding areas of disagreement between Bayesians and frequentists.
Disciplines
Statistical Methodology | Statistical Theory
Suggested Citation
Rice, Kenneth M.; Lumley, Thomas; and Szpiro, Adam A., "Trading Bias for Precision: Decision Theory for Intervals and Sets" (August 2008). UW Biostatistics Working Paper Series. Working Paper 336.
https://biostats.bepress.com/uwbiostat/paper336