Confidence intervals for average success probabilities

  1. Lutz Mattner
  2. Christoph Tasto

Abstract

We provide Buehler-optimal one-sided and 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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Probability and Mathematical Statistics

35, z. 2, 2015

Pages from 301 to 312

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