Unformatted text preview: p . 4. Performance Evaluation: In general, suppose θ is the population parameter, ˆ θ [ k ] is point estimator and ( ˆ θ [ k ] 1 , ˆ θ [ k ] 2 ) is conﬁdence interval computed from the k th simulated sample, k = 1 , 2 , ··· ,K . The simulated Relative Bias ( RB ) of ˆ θ is computed as RB = 1 K K X k =1 ˆ θ [ k ]-θ θ , the simulated Mean Squared Error ( MSE ) is computed as MSE = 1 K K X k =1 ( ˆ θ [ k ]-θ ) 2 . The simulated average length ( AL ) of the conﬁdence interval is computed as AL = 1 K K X k =1 ( ˆ θ [ k ] 2-ˆ θ [ k ] 1 ) , and the lower tail error rate ( L ), upper tail error rate ( U ) and coverage probability ( CP ) are computed respectively as L = 1 K K X k =1 I ( θ ≤ ˆ θ [ k ] 1 ) , U = 1 K K X k =1 I ( θ ≥ ˆ θ [ k ] 2 ) and CP = 1 K K X k =1 I ( ˆ θ [ k ] 1 < θ < ˆ θ [ k ] 2 ) , where I ( · ) is the indicator function, i.e., I ( A ) = 1 if A is true and I ( A ) = 0 otherwise....
View Full Document
This note was uploaded on 11/23/2010 for the course STAT 454 taught by Professor Da during the Fall '09 term at Waterloo.
- Fall '09