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A Cantelli-type inequality for constructing non-parametric p-boxes based on exchangeability.

Troffaes, Matthias C. M. and Basu, Tathagata (2019) 'A Cantelli-type inequality for constructing non-parametric p-boxes based on exchangeability.', in Proceedings of the Eleventh International Symposium on Imprecise Probabilities : Theories and Applications. , pp. 386-393. Proceedings of machine learning research. (103).

Abstract

In this paper we prove a new probability inequality that can be used to construct p-boxes in a non-parametric fashion, using the sample mean and sample standard deviation instead of the true mean and true standard deviation. The inequality relies only on exchangeability and boundedness.

Item Type:Book chapter
Full text:(AM) Accepted Manuscript
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Status:Peer-reviewed
Publisher Web site:http://proceedings.mlr.press/v103/troffaes19a.html
Publisher statement:This paper has been published under a Creative Commons Attribution 4.0 International License specified at http://creativecommons.org/licenses/by/4.0/legalcode (human readable summary at http://creativecommons.org/licenses/by/4.0).
Date accepted:26 April 2019
Date deposited:18 June 2019
Date of first online publication:2019
Date first made open access:No date available

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