## Model robust confidence intervals using maximum likelihood estimators.(English)Zbl 0596.62032

Summary: Standard large-sample confidence intervals about a maximum likelihood estimator $${\hat \theta}$$ are two-thirds robust; i.e. when the parametric model is imperfect $${\hat \theta}$$ often remains consistent and asymptotically normal. The confidence intervals are invalidated only because the third necessary condition, consistency of the variance estimator, fails. The ’delta method’ provides a simple alternative variance estimator which remains consistent under more general conditions and provides robust large-sample confidence intervals.

### MSC:

 62F35 Robustness and adaptive procedures (parametric inference) 62F25 Parametric tolerance and confidence regions
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