Australian National University
The Tail Functions Approach to Confidence Estimation
This paper reviews the method of tail functions (TFs) for constructing confidence intervals (CIs). The idea is to generalize the constant cutoffs (e.g. 0.025 and 0.975) in the definition of a CI to functions of the target parameter. The ordinary 2- and 1-sided CIs are defined by the constant TFs 1/2, 0 and 1. Under prior information, the TFs approach is an alternative to the Bayesian and can lead to improved CIs, whilst retaining frequentist coverage probabilities.