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arXiv · 2005.12554

Error estimation in the method of quasi-optimal weights

A. D. Morozov·A. V. Lokhov·F. V. Tkachov
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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.

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A. D. Morozov, A. V. Lokhov, F. V. Tkachov. 2020-05-26. Error estimation in the method of quasi-optimal weights. https://arxiv.org/abs/2005.12554

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