Neyman construction is a frequentist method to construct an interval at a confidence level
Contents
Coverage probability
The probability that the interval contains the true value is called the coverage probability.
Implementation
A Neyman construction is carried out by performing pseudo-experiments, i.e. constructing data sets corresponding to a given value of the parameter. The pseudo-experiments are fitted with conventional methods, and the space of fitted parameter values constitutes the band of which the confidence interval can be selected from.
References
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