Statistical inference for piecewise normal distributions and stochastic variational inequalities

Shu Lu; Hongsheng Liu

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arXiv · 1907.05353

Statistical inference for piecewise normal distributions and stochastic variational inequalities

Shu Lu·Hongsheng Liu

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Abstract

In this paper we first provide a method to compute confidence intervals for the center of a piecewise normal distribution given a sample from this distribution, under certain assumptions. We then extend this method to an asymptotic setting, and apply this method to compute confidence intervals for the true solution of a stochastic variational inequality based on a solution to a sample average approximation problem. The confidence intervals are computed with simple formulas. Performance of the proposed method is tested with numerical experiments.

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Shu Lu, Hongsheng Liu. 2019-07-11. Statistical inference for piecewise normal distributions and stochastic variational inequalities. https://arxiv.org/abs/1907.05353

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