Inverse set estimation and inversion of simultaneous confidence intervals

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Publication date: 8 October 2022

Abstract: Motivated by the questions of risk assessment in climatology (temperature change in North America) and medicine (impact of statin usage and COVID-19 on hospitalized patients), we address the problem of estimating the set in the domain of a function whose image equals a predefined subset. Existing methods that construct confidence sets require strict assumptions. We generalize the estimation of such sets to dense and non-dense domains with protection against "data peeking" by proving that confidence sets of multiple levels can be simultaneously constructed with the desired confidence non-asymptotically through inverting simultaneous confidence bands. A non-parametric bootstrap algorithm and code are provided.

Has companion code repository: https://github.com/junting-ren/inverse_set_sci

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