L-estimators of scale

Journal Title, Volume, Page:

Journal of Statistical Computation and Simulation Volume 62, Issue 3

Year of Publication:

1999

Link:

http://www.tandfonline.com/doi/abs/10.1080/00949659908811932#.U-IWAvmSwgY

Authors:

Abdelrahim M. Barham

Department of Mathematics , Southern Illinois University , Carbondale, IL, 62901-4408

Current Affiliation:

Department of Statistics, Faculty of Science, An-Najah National University, Nablus, Palestine

[email protected]

S. Jeyaratnam

Department of Mathematics , Southern Illinois University , Carbondale, IL, 62901-4408

Preferred Abstract (Original):

In this paper six confidence intervals for the variance of a distribution are proposed. Extensive simulation study is performed to evaluate the performance of the intervals. A confidence interval based on an L-estimate of scale is found to be robust; in otherwords, regardless of the sample size and the distribution considered in the study, its actual probability of coverage is quite close to the specified confidence coefficient 1 — α.

An-Najah Staff

Robust Confidence Interval for the Variance