Share 'Easy to compute, distribution-free, fractional confidence intervals'
This is a simple technique. Let's say you want to estimate a parameter p (proportion, mean, it does not matter).
* Divide your observations into N random buckets
* Compute the estimated value for each bucket
* Rank these estimates, from p_1 (smallest value) to p_N (largest value)
* Let p_k be your confidence interval lower bound for p, with k less than N/2
* Let p_(N-k+1) be your confidence inte…
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