On Some Problems of Confidence Region Construction
The general problem of constructing confidence regions is unsolved in the sense that there is no algorithm that provides such a region with guaranteed coverage for an arbitrary parameter $\psi\in\Psi.$ Moreover, even when such a region exists, it may be absurd in the sense that either the set $\Psi$ or the null set $\phi$ is reported with positive probability. An approach to the construction of such regions with guaranteed coverage and which avoids absurdity is applied here to several problems that have been discussed in the recent literature and for which some standard approaches produce absurd regions.
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