ENBIS-13 in Ankara

15 – 19 September 2013 Abstract submission: 5 February – 5 June 2013

A Comparison between Minimum Volume Frequentist Confidence Intervals and HPD Bayesian Credibility Intervals

18 September 2013, 10:55 – 11:15


Submitted by
Kristina Lurz
Kristina Lurz (University of Würzburg), Rainer Göb (University of Würzburg), Antonio Pievatolo (CNR-IMATI)
Two-sided confidence intervals for the parameter p of a Binomial distribution under a prescribed confidence level are an elementary tool of statistical data analysis. Göb & Lurz (2013) provided a general design scheme for minimum volume confidence regions under prior knowledge on the target parameter, which they applied to the problem of confidence intervals for a probability p. Prior knowledge on p was expressed by a beta distribution. We compare the scheme with the Bayesian HPD credibility intervals by imposing a beta prior and analyse the performance of the intervals in terms of coverage probability and length. We put focus on right-skewed beta densities with a high probability mass close to 0, which play an important role e. g. in the context of auditing.

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