Abslracl

We derive an aIgorilhm vhich caIcuIales an exacl confidence

inlervaI for a dislribulionaI arameler of Iocalion or scaIe famiIy
based on a lvosided hyolhesis lesl on lhe arameler of inleresl
using some ivolaI quanlilies We use lhis aIgorilhm lo caIcuIale
aroximale confidence inlervaIs for lhe arameler or a funclion
of lhe arameler of onearameler dislribulions We shov lhal
lhese aroximale inlervaIs are asymlolicaIIy exacl We modify
lhe aIgorilhm and use il lo oblain aroximale confidence
inlervaIs for a arameler or a funclion of aramelers for muIli
arameler dislribulions We comare lhe resuIls of lhe melhod
vilh lhose oblained by knovn melhods of lhe Iileralure for lhe
normaI lhe gamma and lhe WeibuII dislribulion and find lhem
salisfaclory We concIude lhal lhe roosed melhod can yieId
aroximale confidence inlervaIs based on Monle CarIo
simuIalions in a generic vay irresecliveIy of lhe dislribulion
funclion as veII as of lhe lye of lhe aramelers or lhe funclion of
aramelers
Comulalion of an aroximale confidence
inlervaI
Suose lhal ve seek an aroximale confidence inlervaI for of lhe one
arameler dislribulion We have roved lhal an asymlolicaIIy exacl
confidence inlervaI is
|
`

`
(
`
)
(G/G),
`
,
`

`
(
`
)
(G/G),
`
| vhere () )
-1
(/2,) and () )
-1
(1 - /2,)
and is lhe maximum IikeIihood eslimale
Suose lhal ve seek an aroximale confidence inlervaI for of lhe
muIliarameler dislribulion We have roved lhal an asymlolicaIIy exacl
confidence inlervaI is again lhe above inlervaI vhere ve subslilule for
according lo lhe foIIoving

(G/G),
`
,

(G/G),
`
G
G

T12 T13
T22 T23
,
G
G

T31 T32
T21 T22
T :
G
G
Var(7)

G
G
T

G
G

G
G
G
G
G
G

w
w1
w
w2

w
wN
w
w1
w
w2

w
wN
w
w1
w
w2

w
wN


`

See delaiIs concerning our melhod in Koulsoyiannis D Kozanis S and TyraIis H An aIgorilhmlo conslrucl
Monle CarIo confidence inlervaIs for an arbilrary funclion of robabiIily dislribulion aramelers in rearalion
In lhe foIIoving ve viII use lhe maximum IikeIihood eslimalors of lhe aramelers of
inleresl
AII derivalives are caIcuIaled using slochaslic simuIalion
The melhod exlends unifies and generaIizes aroximale confidence inlervaIs by
RiIey Slochaslic simuIalion }ohn WiIey Sons
Delerminalion of and from an inversion of a
hyolhesis lesl
C

B
=

(
)
True parameter,
E
s
tim
a
te
d
p
a
ra
m
e
te
r

=

l u

B
()
From this Iigure we have that
(
`
)
`

`
O

&$
&'
- (
G
G
)
,
`
Solving Ior O and X, we Iind O -
`

`
(
`
)
(G/G),
`
and X -
`

`
(
`
)
(G/G),
`
.
According to the Iollowing, |O,X| is an exact 1 conIidence interval Ior .
We construct a test +0:
`
vs +1: =
`
with acceptance region:
$(
`
) [: )
1
(/2,
`
) _ %([) _ )
1
(1 /2,
`
)} (1)
where %(;) is an estimator oI the parameter , which is a size test because (
`
)
1 3()
1
(/2,
`
) _ %(;) _ )
1
(1 /2,
`
),
`
) 1 |)()
1
(1 /2,
`
),
`
) )()
1
(/2,
`
),
`
)|
1 (1 /2 /2) . From this test we obtain the Iollowing 1 conIidence interval Ior :
&([)
`
: )
1
(/2,
`
) _ %([) _ )
1
(1 /2,
`
)} (2)
In our case we assume that we have an observation \ (\1,.,\Q). We obtain the Iollowing 1
conIidence interval Ior :
&(\) : )
1
(/2,) _ %(\) _ )
1
(1 /2,)} (3)
Now we deIine O and X as the solutions oI the equations:
(O) %(\) and (X) %(\) (4)
From the above equation we obtain that:
)
1
(/2,X) %(\) and )
1
(1 /2,O) %(\) (5)
We assume that &(\) |1,2| where 1,2 are the solutions oI the equations
)
1
(/2,2) %(\) and )
1
(1 /2,1) %(\) (6)
Now it is obvious that |O,X| is an approximate 1 conIidence interval estimate Ior .
Confidence inlervaI for lhe scaIe arameler of an
exonenliaI dislribulion
0.7
0.85
1
1.15
1.3
1.45
1.6
0.8 0.85 0.9 0.95 1
Confi dence Coeffi ci ent 1-
C
o
n
fid
e
n
c
e
In
te
r
v
a
l
Exact
Approximate
MCC
The 1 exact conIidence interval is obtained by the Iollowing equations.
)([

,Q,O/Q) 1 /2, )([

,Q,X/Q) /2
where I([,,N)
e
[/
[
N1
(N)
N , [ _ 0 is the density oI the gamma distribution, ~ 0 is the scale parameter and N ~ 0 is the shape parameter
The 1 approximate conIidence interval is obtained by the Iollowing equation
(*)
.
|/(;),8(;)| |
;

1
-1
(1 /2)/ Q
,
;

1
-1
(1 /2)/ Q
|
MCCI in the Iollowing will denote the 1 conIidence interval obtained by our method.
Here we have a simulated sample with 50 elements Irom an exponential distribution with 1. For this sample
`
1.002.
(*)
Papoulis A, Pillai U (2002) Probability, Random Variables and Stochastic Processes. McGraw-Hill
Confidence inlervaI for lhe Iocalion arameler of a
normaI dislribulion
-1.2
-0.9
-0.6
-0.3
0
0.3
0.6
0.9
1.2
0.8 0.85 0.9 0.95 1
Confi dence Coeffi ci ent 1-
C
o
n
fid
e
n
c
e
In
te
r
v
a
l
Exact
Ripley location
MCC
The 1 exact conIidence interval is obtained by the Iollowing equation.
|O([),X([)| |[ tQ1(1 /2)
V
Q
,[ tQ1(1 /2)
V
Q
|
The 1 interval obtained by Ripley`s Iirst method designated as Ripley location.
Here we have a simulated sample with 10 elements Irom a normal distribution with 0 and
1. For this sample
`
0.026 and
`
1.023.
Confidence inlervaI for lhe quanliIe of a
normaI dislribulion
1.3
1.5
1.7
1.9
2.1
2.3
2.5
2.7
2.9
0.8 0.85 0.9 0.95 1
Confi dence Coeffi ci ent 1-
C
o
n
fid
e
n
c
e
In
te
r
v
a
l
Approximate
Bayesian
Ripley location
MCC
The 1 approximate conIidence interval estimate is given by the Iollowing equation.
|O([),X([)| |[ ]SV
-1
(1 /2)
V
Q
1 ]
2
S/2,[ ]SV
-1
(1 /2)
V
Q
1 ]
2
S/2|
(*)

The 1 Bayesian conIidence interval
(**)
, iI we choose a prior 3(,) v 1/
2
, is obtained by
a sampler based on the Iollowing mixture.

2
,[ a inv-
2
(Q1,V
2
) and ,
2
,[ a ([ ,
2
/Q)
Here we have a simulated sample with 50 elements Irom a normal distribution with 0 and
1. For this sample
`
0.027 and
`
0.998.
(*)
Koutsoyiannis, D., (1997) Statistical Hydrology, Edition 4, National Technical University oI Athens, Athens.
(**)
Gelman A, Carlin J, Stern H, Rubin D (2004) Bayesian Data Analysis. Chapman & Hall/CRC.
Confidence inlervaIs vilh confidence coefficienl
of a normaI dislribulion
-4.5
-3.5
-2.5
-1.5
-0.5
0.5
1.5
2.5
3.5
4.5
-3 -2 -1 0 1 2 3
]
C
o
n
fid
e
n
c
e
In
te
r
v
a
l
Approximate
Bayesian
Ripley location
MCC
The 0.99 approximate conIidence interval estimate is given by the Iollowing equation.
|O([),X([)| |[ ]SV
-1
(1 /2)
V
Q
1 ]
2
S/2,[ ]SV
-1
(1 /2)
V
Q
1 ]
2
S/2|
The 0.99 Bayesian conIidence interval, iI we chose a prior 3(,) v 1/
2
, is obtained by a
sampler based on the Iollowing mixture.

2
,[ a inv-
2
(Q1,V
2
) and ,
2
,[ a ([ ,
2
/Q)
Here we have a simulated sample with 50 elements Irom a normal distribution with 0 and
1. For this sample
`
0.027 and
`
0.998.
In the Iigure we calculate the conIidence intervals Ior values oI ]S between 3 and 3.
Confidence inlervaI for lhe scaIe arameler of a
gamma dislribulion
1.8
2.3
2.8
3.3
3.8
4.3
4.8
5.3
5.8
0.8 0.85 0.9 0.95 1
Confi dence Coeffi ci ent 1-
C
o
n
fid
en
ce In
terv
a
l
Approximate
Bayesian
MCC
The 1 approximate conIidence interval is given by the Iollowing equation.
|/(;),8(;)| |
2Q;

2
2QN
`(1 /2) 2QN
`
5QF
,
2Q;

2
2QN
`(/2) 2QN
`
5QF
|
(*)

The 1 Bayesian conIidence interval
(**)
, iI we chose a prior 3(N,) v 1/, is obtained by the Iollowing Gibbs sampler.
,N,[ a ,*(QN,1/
L 1
Q
[L)
where ,*(D,E) denotes the inverse gamma distribution with parameters D and E, with density Iunction deIined by I([,D,E)
|(D)E
D
|
1
[
(D1)
exp(1/E[), [, D, E ~ 0. And
3(N,,[) v |(N)|
Q

QN

L 1
Q
[
N-1
L
Here we have a simulated sample with 50 elements Irom a gamma distribution with N 2 and 3. For this sample N
`
1.979 and
`
3.007.
(*)
Bhaumik D, Kapur K, Gibbons R (2009) Testing Parameters oI a Gamma Distribution Ior Small Samples. Technometrics 51(3):326-334
(**)
Son YS, Oh M (2006) Bayesian Estimation oI the Two-Parameter Gamma Distribution. Communications in Statistics: Simulation and Computation 35(2):285-293
Confidence inlervaI for lhe shae arameler of a
gamma dislribulion
1
1.3
1.6
1.9
2.2
2.5
2.8
3.1
0.8 0.85 0.9 0.95 1
Confi dence Coeffici ent 1-
C
o
n
fid
en
ce In
terv
a
l
Approximate
Bayesian
MCC
The 1 approximate conIidence interval is given by the Iollowing inequality where we solve Ior N.

Var(5Q)
E(5Q)

2
(/2) 25Q
Var(5Q)
E(5Q)

2
(1 /2)
(*)

The 1 Bayesian conIidence interval
(**)
, iI we chose a prior 3(N,) v 1/, is obtained by the Iollowing Gibbs sampler.
,N,[ a ,*(QN,1/
L 1
Q
[L)
where ,*(D,E) denotes the inverse gamma distribution with parameters D and E, with density Iunction deIined by I([,D,E)
|(D)E
D
|
1
[
(D1)
exp(1/E[), [, D, E ~ 0. And
3(N,,[) v |(N)|
Q

QN

L 1
Q
[
N-1
L
Here we have a simulated sample with 50 elements Irom a gamma distribution with N 2 and 3. For this sample N
`
1.979 and
`
3.007.
(*)
Bhaumik D, Kapur K, Gibbons R (2009) Testing Parameters oI a Gamma Distribution Ior Small Samples. Technometrics 51(3):326-334
(**)
Son YS, Oh M (2006) Bayesian Estimation oI the Two-Parameter Gamma Distribution. Communications in Statistics: Simulation and Computation 35(2):285-293
Confidence inlervaIs for lhe scaIe arameler of a
WeibuII dislribulion
1.7
1.9
2.1
2.3
2.5
0.8 0.85 0.9 0.95 1
Confi dence Coeffi cient 1-
C
o
n
fid
en
ce In
terv
a
l
Approximate
MCC
The 1 approximate conIidence interval is given by the Iollowing equation
(*)
.
|O([),X([)| |(
26(E
`
)
F1
2
2Q(1 /2) 2Q(F1 1)
)
1/E
`
,(
26(E
`
)
F1
2
2Q(/2) 2Q(F1 1)
)
1/E
`
|
where 6(E) :
L 1
Q
[
E
L and F1 : 1 0.6079270.422642
2
. We denote E
`
the modiIied maximum likelihood estimate given by the minimization oI
the Iollowing Iunction
/(E) :
Q 2
E
(Q
L 1
Q
[
E
L ln[L)(
L 1
Q
[
E
L )
1

L 1
Q
ln[L 0
and D
`
the modiIied maximum likelihood estimate given by the Iollowing equation.
D
`
|(1/Q)
L 1
Q
[
E
`
L |
1/E
`

Here we have a simulated sample with 50 elements Irom a Weibull distribution with D 2 and E 3. For this sample D
`
2.022 and E
`
3.097.
(*)
Yang Z, Xie M, Wong A (2007) A uniIied conIidence interval Ior reliability-related quantities oI two-parameter Weibull distribution. Journal oI Statistical Computation
and Simulation 77(5):365-378
ImIemenlalion of lhe melhod in soflvare
ackage Hydrognomon
Weibull Gamma
Sample limits 95,0000% Conf idence interval limits 95,0000%
Exceedance probability (%) - scale: Normal distribution
9
9
,9
5
%
9
9
,8
%
9
9
,5
%
9
9
%
9
8
%
9
5
%
9
0
%
8
0
%
7
0
%
6
0
%
5
0
%
4
0
%
3
0
%
2
0
%
1
0
%
5
%
2
%
1
%
,5
%
,2
%
,0
5
%
350
300
250
200
150
100
50
0
User inlerface
MonlhIy reciilalion in Zograhou camus
November
The samIe is modeIIed by a gamma dislribulion
ConcIusions
Here ve roose a generaIized numericaI melhod for lhe comulalion of
aroximale confidence inlervaIs of any dislribulion The nev aIgorilhm
unifies lhe advanlages of lvo Monle CarIo melhods by RiIey
The mosl imorlanl characlerislic of lhe melhod is ils generic aIgorilhm
lhal does nol deend on lhe dislribulion funclion
AIicalion of lhe aIgorilhm in many cases and yieIds confidence
inlervaIs beller lhan RiIeys or olher aroximale confidence inlervaIs
We roose lhis aIgorilhm for a firsl aroximalion of an exacl
confidence inlervaI because il is easiIy aIicabIe in every case and gives
good resuIls
Our melhod has aIready been aIied lo lhe soflvare ackage
Hydrognomon hllhydrognomonorg Hydrognomon
imIemenls lhis melhod lo eslimale confidence inlervaIs of lhe
aramelers and quanliIes of aboul robabiIily dislribulions
Iuroean Geosciences Union General Assembly Vienna Auslria Aril Session HS Hydroclimalic Slochaslics
D Koulsoyiannis S Kozanis and H Tyralis Dearlmenl of Waler Resources and Invironmenlal Ingineering Nalional Technical Universily of Alhens ilianluagr
A general Monle Carlo melhod for lhe conslruclion of confidence inlervals for a funclion of robabilily dislribulions