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\name{norm.ci}
\alias{norm.ci}
\title{
Normal Approximation Confidence Intervals
}
\description{
Using the normal approximation to a statistic, calculate equi-tailed two-sided
confidence intervals.
}
\usage{
norm.ci(boot.out=NULL, conf=0.95, index=1, var.t0=NULL,
t0=NULL, t=NULL, L=NULL, h=function(t) t,
hdot=function(t) 1, hinv=function(t) t)
}
\arguments{
\item{boot.out}{
A bootstrap output object returned from a call to \code{boot}. If \code{t0} is
missing then \code{boot.out} is a required argument. It is also required if
both \code{var.t0} and \code{t} are missing.
}
\item{conf}{
A scalar or vector containing the confidence level(s) of the required
interval(s).
}
\item{index}{
The index of the statistic of interest within the output of a call to
\code{boot.out$statistic}. It is not used if \code{boot.out} is missing, in which
case \code{t0} must be supplied.
}
\item{var.t0}{
The variance of the statistic of interest. If it is not supplied then
\code{var(t)} is used.
}
\item{t0}{
The observed value of the statistic of interest. If it is missing then it is
taken from \code{boot.out} which is required in that case.
}
\item{t}{
Bootstrap replicates of the variable of interest. These are used to estimate
the variance of the statistic of interest if \code{var.t0} is not supplied. The
default value is \code{boot.out$t[,index]}.
}
\item{L}{
The empirical influence values for the statistic of interest. These are used
to calculate \code{var.t0} if neither \code{var.t0} nor \code{boot.out} are supplied. If a
transformation is supplied through \code{h} then the influence values must be for the
untransformed statistic \code{t0}.
}
\item{h}{
A function defining a monotonic transformation, the intervals are calculated
on the scale of \code{h(t)} and the inverse function \code{hinv} is applied to the
resulting intervals. \code{h} must be a function of one variable only and must
be vectorized. The default is the identity function.
}
\item{hdot}{
A function of one argument returning the derivative of \code{h}. It is a required
argument if \code{h} is supplied and is used for approximating the variance of
\code{h(t0)}. The default is the constant function 1.
}
\item{hinv}{
A function, like \code{h}, which returns the inverse of \code{h}. It is used to transform
the intervals calculated on the scale of \code{h(t)} back to the original scale.
The default is the identity function. If \code{h} is supplied but \code{hinv} is not,
then the intervals returned will be on the transformed scale.
}}
\value{
If \code{length(conf)} is 1 then a vector containing the confidence level and the
endpoints of the interval is returned. Otherwise, the returned value is a
matrix where each row corresponds to a different confidence level.
}
\details{
It is assumed that the statistic of interest has an approximately normal
distribution with variance \code{var.t0} and so a confidence interval of length
\code{2*qnorm((1+conf)/2)*sqrt(var.t0)} is found. If \code{boot.out} or \code{t} are
supplied then the interval is bias-corrected using the bootstrap bias estimate,
and so the interval would be centred at \code{2*t0-mean(t)}. Otherwise the interval
is centred at \code{t0}.
}
\note{
This function is primarily designed to be called by \code{boot.ci} to calculate
the normal approximation after a bootstrap but it can also be used without
doing any bootstrap calculations as long as \code{t0} and \code{var.t0} can be supplied. See the examples below.
}
\references{
Davison, A.C. and Hinkley, D.V. (1997)
\emph{Bootstrap Methods and Their Application}. Cambridge University Press.
}
\seealso{
\code{\link{boot.ci}}
}
\examples{
# In Example 5.1 of Davison and Hinkley (1997), normal approximation
# confidence intervals are found for the air-conditioning data.
air.mean <- mean(aircondit$hours)
air.n <- nrow(aircondit)
air.v <- air.mean^2/air.n
norm.ci(t0=air.mean, var.t0=air.v)
exp(norm.ci(t0=log(air.mean), var.t0=1/air.n)[2:3])
# Now a more complicated example - the ratio estimate for the city data.
ratio <- function(d, w)
sum(d$x * w)/sum(d$u *w)
city.v <- var.linear(empinf(data=city, statistic=ratio))
norm.ci(t0=ratio(city,rep(0.1,10)), var.t0=city.v)
}
\keyword{htest}
% Converted by Sd2Rd version 1.15.
|
