Confidence interval for model parameters

Source: R/AllGenerics.R, R/confint-methods.R

Computes confidence intervals for one or more parameters in a model.

# S4 method for EL
confint(object, parm, level = 0.95, cv = NULL, control = NULL)

# S4 method for ELMT
confint(object, cv = NULL, control = NULL)

Arguments

object

An object that inherits from EL or ELMT.

parm

A specification of which parameters are to be given confidence intervals, either a vector of numbers or a vector of names. If missing, all parameters are considered.

level

A single numeric for the confidence level required. Defaults to 0.95.

cv

A single numeric for the critical value for calibration of empirical likelihood ratio statistic. Defaults to NULL and set to qchisq(level, 1L). If non-NULL, level is ignored.

control

An object of class ControlEL constructed by el_control(). Defaults to NULL and inherits the control slot in object.

Value

A matrix with columns giving lower and upper confidence limits for each parameter. In contrast to other methods that rely on studentization, the lower and upper limits obtained from empirical likelihood do not correspond to the (1 - level) / 2 and 1 - (1 - level) / 2 in %, respectively.

References

Owen A (1990). ``Empirical Likelihood Ratio Confidence Regions.'' The Annals of Statistics, 18(1), 90--120. doi:10.1214/aos/1176347494 .

Examples

data("mtcars")
fit <- el_lm(mpg ~ ., data = mtcars)
confint(fit, parm = c(2, 3))
#>             lower     upper
#> cyl  -0.426725127 0.3802687
#> disp  0.006409155 0.0218920