E0 232 Probability and Statistics Oct 30, 2012

Brief Note on Symmetric Condence Intervals

Shivani Agarwal
Recall that a (1 ) condence interval for a parameter based on data X
1
, . . . , X
n
is a (random) interval
[

n
,

+
n
], where

n
= g

(X
1
, . . . , X
n
) and

+
n
= g
+
(X
1
, . . . , X
n
) are some functions of the data satisfying
P

+
n

1 .
Often, it is natural to construct a symmetric condence interval [

n
,

n
+] around some estimator

n
.
This reduces the problem to nding > 0 such that
P

.
Example 1 (Condence interval for mean of a bounded random variable). Suppose X
1
, . . . , X
n
are iid
random variables in some bounded range [a, b] with unknown mean . Then a condence interval for using
the sample average estimator

M
n
=
1
n

n
i=1
X
i
can be obtained using Hoedings inequality. In particular,
taking = (b a)

1
2n
ln(
2

) yields a (1 ) condence interval [

M
n
,

M
n
+] for .
Example 2 (Condence interval derived from an asymptotically normal estimator). Suppose X
1
, . . . , X
n
are
iid random variables whose distribution is governed by some unknown parameter , and

n
= g(X
1
, . . . , X
n
)
is an asymptotically normal estimator of , i.e. that

Var

n
)
D
N(0, 1) .
Unless Var

n
) is known, this does not directly yield a condence interval for . However, if for some
data-based estimator

V
n
= h(X
1
, . . . , X
n
) of Var

n
) we have

V
n
D
N(0, 1) ,
then for large n, this can be used to obtain a normal-based (approximate) condence interval for . In
particular, taking =

V
n
z
/2
, where z
/2
=
1
(1

2
), yields a (1) condence interval [

n
,

n
+]
for .
Example 3 (Condence interval for mean of a normal random variable). Suppose X
1
, . . . , X
n
are iid normal
random variables with unknown mean and unknown variance
2
, and let

M
n
=
1
n

n
i=1
X
i
and

S
2
n
=
1
n1

n
i=1
(X
i

M
n
)
2
. Then

M
n

S
n

n
t
n1
,
where t
n1
denotes the t distribution with n 1 degrees of freedom, and whose CDF
n1
is available in
tables similarly to the standard normal CDF tables. In this case, one can obtain a t distribution based
condence interval for ; in particular, taking =

S
n

n
z

/2
, where z

/2
=
1
n1
(1

2
), yields a (1 )
condence interval [

M
n
,

M
n
+ ] for . For large n, t
n1
is well-approximated by the standard normal
N(0, 1), and so one can again fall back on a normal-based approximation, but for small n, the t
n1
-based
condence interval should be used.
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