A Cantelli-type inequality for constructing non-parametric p-boxes based on exchangeability

Troffaes, Matthias C.M.; Basu, Tathagata

Abstract

In this paper we prove a new probability inequality that can be used to construct p-boxes in a non-parametric fashion, using the sample mean and sample standard deviation instead of the true mean and true standard deviation. The inequality relies only on exchangeability and boundedness.

Citation

Troffaes, M. C., & Basu, T. (2019, December). A Cantelli-type inequality for constructing non-parametric p-boxes based on exchangeability. Presented at ISIPTA'19, Ghent

• Presentation Conference Type: Conference Paper (published)
• Conference Name: ISIPTA'19
• Acceptance Date: Apr 26, 2019
• Publication Date: 2019
• Deposit Date: Jun 17, 2019
• Publicly Available Date: Jun 18, 2019
• Pages: 386-393
• Series Title: Proceedings of machine learning research
• Series Number: 103
• Series ISSN: 2640-3498
• Book Title: Proceedings of the Eleventh International Symposium on Imprecise Probabilities : Theories and Applications.
• Public URL: https://durham-repository.worktribe.com/output/1142573
• Publisher URL: http://proceedings.mlr.press/v103/troffaes19a.html