Confidence intervals for average success probabilities

Lutz Mattner; Christoph Tasto

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arXiv · 1403.0229

Confidence intervals for average success probabilities

Lutz Mattner·Christoph Tasto

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Abstract

We provide Buehler-optimal one-sided and some valid two-sided confidence intervals for the average success probability of a possibly inhomogeneous fixed length Bernoulli chain, based on the number of observed successes. Contrary to some claims in the literature, the one-sided Clopper-Pearson intervals for the homogeneous case are not completely robust here, not even if applied to hypergeometric estimation problems.

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Lutz Mattner, Christoph Tasto. 2014-03-02. Confidence intervals for average success probabilities. https://arxiv.org/abs/1403.0229

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