From skostyshak at ufl.edu  Thu Jul 20 19:46:56 2017
From: skostyshak at ufl.edu (Scott Kostyshak)
Date: Thu, 20 Jul 2017 13:46:56 -0400
Subject: [Rd] [patch] ?confint: "assumes asymptotic normality"
In-Reply-To: <22896.48208.806371.980068@stat.math.ethz.ch>
References: <20170720072837.phhhg7q6lxmjzboj@steph>
 <22896.48208.806371.980068@stat.math.ethz.ch>
Message-ID: <20170720174656.xwiwool2mdyhkupi@steph>

On Thu, Jul 20, 2017 at 04:21:04PM +0200, Martin Maechler wrote:
> >>>>> Scott Kostyshak <skostyshak at ufl.edu>
> >>>>>     on Thu, 20 Jul 2017 03:28:37 -0400 writes:
> 
>     >> From ?confint:
>     > "Computes confidence intervals" and "The default method assumes
>     > asymptotic normality"
> 
>     > For me, a "confidence interval" implies an exact confidence interval in
>     > formal statistics (I concede that when speaking, the term is often used
>     > more loosely). And of course, even if a test statistic is asymptotically
>     > normal (so the assumption is satisfied), the finite distribution might
>     > not be normal and thus an exact confidence interval would not be
>     > computed.
> 
>     > Attached is a patch that simply changes "asymptotic normality" to
>     > "normality" in confint.Rd. This encourages the user of the function to
>     > think about whether their asymptotically normal statistic is "normal
>     > enough" in a finite sample to get something reliable from confint().
> 
>     > Alternatively, we could instead change "Computes confidence intervals"
>     > to "Computes asymptotic confidence intervals".
> 
>     > I hope I'm not being too pedantic here.
> 
> well, it's just at the 97.5% border line of "too pedantic"  ...

:)

> ;-)
> 
> I think you are right with your first proposal to drop
> "asymptotic" here.  After all, there's the explict 'fac <- qnorm(a)'.

Note that I received a private email that my message was indeed too
pedantic and expressed disagreement with the proposal. I'm not sure if
they intended it to be private so I will respond in private and see if
they feel like bringing the discussion on the list. Or perhaps this
minor (and perhaps controversial?) issue is not worth any additional
time.

> One could consider to make  'qnorm' an argument of the
> default method to allow more general distributional assumptions,
> but it may be wiser to have useRs write their own
> confint.<foo>() method, notably for cases where
> diag(vcov(object)) is an efficiency waste...

Thanks for your comments,

Scott

> Martin
> 
> 
>     > Scott
> 
> 
>     > -- 
>     > Scott Kostyshak
>     > Assistant Professor of Economics
>     > University of Florida
>     > https://people.clas.ufl.edu/skostyshak/
> 
> 
>     > ----------------------------------------------------------------------
>     > Index: src/library/stats/man/confint.Rd
>     > ===================================================================
>     > --- src/library/stats/man/confint.Rd	(revision 72930)
>     > +++ src/library/stats/man/confint.Rd	(working copy)
>     > @@ -31,7 +31,7 @@
>     > }
>     > \details{
>     > \code{confint} is a generic function.  The default method assumes
>     > -  asymptotic normality, and needs suitable \code{\link{coef}} and
>     > +  normality, and needs suitable \code{\link{coef}} and
>     > \code{\link{vcov}} methods to be available.  The default method can be
>     > called directly for comparison with other methods.
>  
> 
>     > ----------------------------------------------------------------------
>     > ______________________________________________
>     > R-devel at r-project.org mailing list
>     > https://stat.ethz.ch/mailman/listinfo/r-devel



[Rd] [patch] ?confint: "assumes asymptotic normality"
Scott Kostyshak