Confidence Intervals for Parameters of Unobserved Events

Amichai Painsky*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

Consider a finite sample from an unknown distribution over a countable alphabet. Unobserved events are alphabet symbols which do not appear in the sample. Estimating the probabilities of unobserved events is a basic problem in statistics and related fields, which was extensively studied in the context of point estimation. In this work we introduce a novel interval estimation scheme for unobserved events. Our proposed framework applies selective inference, as we construct confidence intervals (CIs) for the desired set of parameters. Interestingly, we show that obtained CIs are dimension-free, as they do not grow with the alphabet size. Further, we show that these CIs are (almost) tight, in the sense that they cannot be further improved without violating the prescribed coverage rate. We demonstrate the performance of our proposed scheme in synthetic and real-world experiments, showing a significant improvement over the alternatives. Finally, we apply our proposed scheme to large alphabet modeling. We introduce a novel simultaneous CI scheme for large alphabet distributions which outperforms currently known methods while maintaining the prescribed coverage rate. Supplementary materials for this article are available online including a standardized description of the materials available for reproducing the work.

Original languageEnglish
JournalJournal of the American Statistical Association
DOIs
StateAccepted/In press - 2024

Funding

FundersFunder number
Israel Science Foundation963/21

    Keywords

    • Categorical data analysis
    • Count data
    • Large alphabet probability estimation
    • Missing mass
    • Rule-of-three
    • Selective inference

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