Neyman construction is a frequentist method to construct an interval at a confidence level that if we repeat the experiment many times the interval will contain the true value a fraction 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.
- Neyman, J. (1937) "Outline of a Theory of Statistical Estimation Based on the Classical Theory of Probability" Philosophical Transactions of the Royal Society of London A, 236, 333-380.
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