On the computation of confidence regions and error ellipses: a critical appraisal

Abstract

Customary confidence regions do not truly reflect in the majority of our geodetic applications the confidence one can have in one’s produced estimators. As it is common practice in our daily data analyses to combine methods of parameter estimation and hypothesis testing before the final estimator is produced, it is their combined uncertainty that has to be taken into account when constructing confidence regions. Ignoring the impact of testing on estimation will produce faulty confidence regions and therefore provide an incorrect description of estimator’s quality. In this contribution, we address the interplay between estimation and testing and show how their combined non-normal distribution can be used to construct truthful confidence regions. In doing so, our focus is on the designing phase prior to when the actual measurements are collected, where it is assumed that the working (null) hypothesis is true. We discuss two different approaches for constructing confidence regions: Approach I in which the region’s shape is user-fixed and only its size is determined by the distribution, and Approach II in which both the size and shape are simultaneously determined by the estimator’s non-normal distribution. We also prove and demonstrate that the estimation-only confidence regions have a poor coverage in the sense that they provide an optimistic picture. Next to the provided theory, we provide computational procedures, for both Approach I and Approach II, on how to compute confidence regions and confidence levels that truthfully reflect the combined uncertainty of estimation and testing.