Wald Confidence Intervals for Parameters

Wald confidence intervals are sometimes called normal confidence intervals. They are based on the asymptotic normality of the parameter estimators. The $100(1-\alpha )$% Wald confidence interval for $\theta _ j$ is given by

\[  \hat{\theta }_ j \pm z_{1-\alpha /2}\hat{\sigma }_ j  \]

where $z_{1-\alpha /2}$ is the $100(1-\alpha /2)$ percentile of the standard normal distribution, $\hat{\theta }_ j$ is the pseudo-estimate of $\theta _ j$, and $\hat{\sigma }_ j$ is the standard error estimate of $\hat{\theta }_ j$ in the section Variance Estimation.