Constructing confidence intervals for constrained parameters via valid prior-free inferential models

TL;DR

This paper introduces prior-free inferential models for constructing exact confidence intervals for constrained parameters in normal and Poisson distributions, addressing limitations of Bayesian methods and ensuring nominal coverage.

Contribution

It develops novel IM approaches that guarantee exact coverage for constrained parameters without relying on prior information, improving inference in practical scenarios.

Findings

IM confidence intervals achieve exact nominal coverage.

Random weighting improves coverage for Poisson models.

IM and NIM intervals outperform Bayesian intervals in simulations.

Abstract

Constructing valid inferential methods for constrained parameters in normal and Poisson distributions represents two fundamental and important problems in applied statistics, for which there is currently no unified framework for statistical inference. Most existing studies assume that the nuisance parameters of the model are known, an assumption that is often impractical in real-world applications. However, under the more realistic scenario where nuisance parameters are unknown, the available Bayesian interval estimation methods fail to guarantee nominal coverage and thus cannot provide exact inference. To address these limitations, this paper develops prior-free inferential model (IM) approaches for parameters of interest in constrained normal and Poisson models and demonstrates that the confidence intervals (CIs) obtained from these novel IM methods can achieve exact nominal coverage. Furthermore, considering the discrete nature of the Poisson distribution, we employ random weighting techniques to improve the conservative coverage performance of the IM CIs. Simulation studies show that the coverage probabilities of the improved nonrandomized inferential model (NIM) CIs are closest to the prespecified nominal levels, with corresponding expected lengths shorter than those of Bayesian intervals in weak signal scenarios, whereas the shorter expected lengths of Bayesian intervals in strong signal scenarios come at the cost of sacrificing coverage guarantees. Therefore, the proposed IM and NIM CIs are superior to the Bayesian CIs. Finally, the advantages of the proposed methods are confirmed through an analysis of two experimental datasets on neutrinos in high-energy physics.