Neyman construction

Neyman construction is a frequentist method to construct an interval at a confidence level that if we repeat the experiment many times the interval will contain the true value a fraction of the time. The probability that the intervals contains the true value is called the coverage.

A Neyman construction is carried out by performing pseudo-experiments, ie. constructing data sets corresponding to a given value of the parameter. The pseudo-experiments are fitted with conventional methods, and the space of fitted parameter values constitutes the band of which the confidence interval can be selected from.

References

• Neyman, J. (1937) "Outline of a Theory of Statistical Estimation Based on the Classical Theory of Probability" Philosophical Transactions of the Royal Society of London A, 236, 333-380.