Neyman construction

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

A Neyman construction is carried out by performing pseudo-experiments, i.e. 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.

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