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NAVAECI: Non-Asymptotically Valid and Asymptotically Exact (NAVAE) Confidence Intervals

Installation

You can install the development version of NAVAECI from GitHub with:

# install.packages("remotes")
remotes::install_github("AlexisDerumigny/NAVAECI")

Confidence interval for the mean

library(NAVAECI)

n = 4000
x = rexp(n, rate = 1/3)  # so the mean is 3
Navae_ci_mean(x, bound_K = 9, alpha = 0.1)
#> Call: Navae_ci_mean(data = x, alpha = 0.1, bound_K = 9)
#> 
#> CLT-based confidence interval:
#>      5 %     95 % 
#> 2.946852 3.106489 
#> 
#> NAVAE confidence interval:
#>      5 %     95 % 
#> 2.904051 3.149290

Confidence interval for the linear regression

n = 4000
X1 = rnorm(n, sd = 1)
true_eps = rnorm(n)
Y = 2 + 8 * X1 + true_eps

Navae_ci_ols(Y, X1, K_xi = 3, a = 1.1)
#> Call: Navae_ci_ols(Y = Y, X = X1, a = 1.1, K_xi = 3)
#> 
#> CLT-based confidence intervals:
#>              2.5 %   97.5 % estimate     length
#> intercept 1.962180 2.024766 1.993473 0.06258577
#> X1        7.987254 8.050967 8.019111 0.06371274
#> 
#> NAVAE confidence intervals:
#>              2.5 %   97.5 % regime estimate    length
#> intercept 1.717172 2.269774    Edg 1.993473 0.5526014
#> X1        7.742453 8.295769    Edg 8.019111 0.5533160

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.