Statistical inference for piecewise normal distributions and stochastic variational inequalities
Year: 2019
Type: preprint
Abstract: In this paper we first provide a method to compute confidence intervals for the center of a piecewise normal distribution given a sample from this distribution, under certain assumptions. We then extend this method to an asymptotic setting, and apply this method to compute confidence intervals for the true solution of a stochastic variational inequality based on a solution to a sample average approximation problem. The confidence intervals are computed with simple formulas. Performance of the proposed method is tested with numerical experiments.
Source: arXiv (Cornell University)
Authors: Lu, Shu, Liu, Hongsheng
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W2957718236