Higher-order approximate confidence intervals

11/27/2018

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by   Eliane C. Pinheiro, et al.

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We derive accurate confidence intervals based on higher-order approximate quantiles of the score function. The coverage approximation error is O(n^-3/2) while the approximation error of confidence intervals based on the asymptotic normality of MLEs is O(n^-1/2). Monte Carlo simulations confirm theoretical findings. An implementation for regression models and real data applications are provided.