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The Weighted Polya Posterior Confidence Interval For the Difference Between Two Independent Proportions

독립표본에서 두 모비율의 차이에 대한 가중 POLYA 사후분포 신뢰구간

  • 이승천 (한신대학교 정보통계학과)
  • Published : 2006.03.01

Abstract

The Wald confidence interval has been considered as a standard method for the difference of proportions. However, the erratic behavior of the coverage probability of the Wald confidence interval is recognized in various literatures. Various alternatives have been proposed. Among them, Agresti-Caffo confidence interval has gained the reputation because of its simplicity and fairly good performance in terms of coverage probability. It is known however, that the Agresti-Caffo confidence interval is conservative. In this note, a confidence interval is developed using the weighted Polya posterior which was employed to obtain a confidence interval for the binomial proportion in Lee(2005). The resulting confidence interval is simple and effective in various respects such as the closeness of the average coverage probability to the nominal confidence level, the average expected length and the mean absolute error of the coverage probability. Practically it can be used for the interval estimation of the difference of proportions for any sample sizes and parameter values.

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