On Wed, Jul 3, 2013 at 9:23 AM, Robert A LaBudde <ral@lcfltd.com> wrote:

> The obvious method would appear to be standard errors computed from
> bootstrap or crossvalidation samples.
>

If you are going to use bootstrap or crossvalidation samples, why not
calculate the interval directly from the sample?  If you use the sample to
calculate a standard error then use the standard error to create an
interval you are throwing away information that you might have on possible
asymmetry of the distribution.

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