Confidence interval performance is typically assessed in terms of two criteria: coverage probability and interval width (or margin of error). In this work we detail the importance of defining the margin of error in relation to the magnitude of the estimated proportion when the success probability is small. We compare the performance of four common proportion interval estimators: the Wald, Clopper-Pearson, Wilson and Agresti-Coull, in the context of rare-event probabilities. We show that incompatibilities between the margin of error and the magnitude of the proportion results in very narrow confidence intervals (requiring extremely large sample sizes), or intervals that are too wide to be practically useful. We propose a relative margin of error scheme that is consistent with the order of magnitude of the proportion. Confidence interval performance is thus assessed in terms of satisfying this relative margin of error, in conjunction with achieving a desired coverage probability. We illustrate that when adherence to this relative margin of error is considered as a requirement for satisfactory interval performance, all four interval estimators perform somewhat similarly for a given sample size and confidence level.
翻译:在这项工作中,我们详细说明了在成功概率小的情况下根据估计比例的幅度来界定误差幅度的重要性。我们比较了四个共同比例间差的性能:Wald、Clopper-Pearson、Wilson和Agresti-Coull, 在罕见事件概率方面;我们显示误差幅度与比例幅度之间的不相容性能在非常狭窄的互信间隔(需要非常大的样本大小)或范围太广而无法实际有用的间隔中产生的结果。我们提出了与比例的大小一致的相对误差幅度办法。因此,在满足这一相对误差幅度的同时,在达到预期的误差概率方面评估了信任时间间隔的性能。我们说明,如果将遵守这一相对误差幅度视为令人满意的间隔性能的一项要求,则所有四个误差间隔期的估者对某一抽样规模和信任程度的表现都大致相同。