Rigorous LCB for the expectation of a positive r.v.
October 27, 2008
A paper of mine was published in the open-access Electronic Journal of Statistics. It proposes a method of constructing lower confidence bounds for positive random variables that are guaranteed to have the nominal coverage probability for any distribution, as long as the sample points are i.i.d., from a distribution over the non-negative reals.
In the paper, the method is applied to analyze (a version of) the data of the second Lancet study of mortality in post-invasion Iraq.