From maechler at stat.math.ethz.ch  Thu Jul 20 16:21:04 2017
From: maechler at stat.math.ethz.ch (Martin Maechler)
Date: Thu, 20 Jul 2017 16:21:04 +0200
Subject: [Rd] [patch] ?confint: "assumes asymptotic normality"
In-Reply-To: <20170720072837.phhhg7q6lxmjzboj@steph>
References: <20170720072837.phhhg7q6lxmjzboj@steph>
Message-ID: <22896.48208.806371.980068@stat.math.ethz.ch>

>>>>> 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)'.

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...

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"
Martin Maechler