Likelihood-ratio inference on differences in quantiles
Fuente:
arXiv
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| Autor principal: | |
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| Formato: | Preprint |
| Publicado: |
2023
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| _version_ | 1866913454210678784 |
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| author | Miller, Evan |
| author_facet | Miller, Evan |
| contents | Quantiles can represent key operational and business metrics, but the computational challenges associated with inference has hampered their adoption in online experimentation. One-sample confidence intervals are trivial to construct; however, two-sample inference has traditionally required bootstrapping or a density estimator. This paper presents a new two-sample difference-in-quantile hypothesis test and confidence interval based on a likelihood-ratio test statistic. A conservative version of the test does not involve a density estimator; a second version of the test, which uses a density estimator, yields confidence intervals very close to the nominal coverage level. It can be computed using only four order statistics from each sample. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2401_10233 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Likelihood-ratio inference on differences in quantiles Miller, Evan Methodology Quantiles can represent key operational and business metrics, but the computational challenges associated with inference has hampered their adoption in online experimentation. One-sample confidence intervals are trivial to construct; however, two-sample inference has traditionally required bootstrapping or a density estimator. This paper presents a new two-sample difference-in-quantile hypothesis test and confidence interval based on a likelihood-ratio test statistic. A conservative version of the test does not involve a density estimator; a second version of the test, which uses a density estimator, yields confidence intervals very close to the nominal coverage level. It can be computed using only four order statistics from each sample. |
| title | Likelihood-ratio inference on differences in quantiles |
| topic | Methodology |
| url | https://arxiv.org/abs/2401.10233 |