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Case 1: Confidence Limits of Constrained Parameter of Interest

A Monte Carlo analysis was conducted to explore the effects of a constraint boundary on the true size of the confidence limits computed by two methods, (1) inversion of the Wald statistic, and (2) inversion of likelihood ratio statistic.

The 95 percent likelihood ratio and Wald confidence limits for means constrained to be greater than zero were estimated for 40 models: a Normal with unit variance and 20 different true values for the means ranging from 0 to .18 for each of two sample sizes, 300 and 500.

The proportion of the confidence limits that failed to include the true value is plotted in Figure 1 against the true value. We observe that this proportion, or size, is about one half the correct size up to a threshold where it becomes the full correct size. The theoretical thresholds for confidence limits for a mean with Normal density with N = 300 and 500, at tex2html_wrap_inline530 , are .1131, .0876, and for tex2html_wrap_inline532 are .0950, .0736, respectively. These threshold values are quite close to the Monte Carlo results in Figure 1.

Figure 1: Size of constrained parameter of interest at different distances from the constraint boundary

R. Schoenberg
Fri Sep 12 09:47:41 PDT 1997