EMPIRICAL EVIDENCE FOR ADAPTIVE CONFIDENCE INTERVALS AND IDENTIFICATION OF OUTLDSRS USING METHODS OF TRIMMING
作者:
BRENTON R. CLARKE,
期刊:
Australian Journal of Statistics
(WILEY Available online 1994)
卷期:
Volume 36,
issue 1
页码: 45-58
ISSN:0004-9581
年代: 1994
DOI:10.1111/j.1467-842X.1994.tb00637.x
出版商: Blackwell Publishing Ltd
关键词: Trimmed mean;Student t‐statistic;confidence intervals;least trimmed squares estimator;trimmed likelihood estimator;adaptive estimation
数据来源: WILEY
摘要:
SummaryIn an attempt to apply robust procedures, conventional t‐tables are used to approximate critical values of a Studentized t‐statistic which is formed from the ratio of a trimmed mean to the square root of a suitably normed Winsorized sum of squared deviations. It is shown here that the approximation is poor if the proportion of trimming is chosen to depend on the data. Instead a data dependent alternative is given which uses adaptive trimming proportions and confidence intervals based on trimmed likelihood statistics. Resulting statistics have high efficiency at the normal model, proper coverage for confidence intervals, yet retain breakdown point one half. Average lengths of confidence intervals are competitive with those of recent Studentized confidence intervals based on the biweight over a range of underlying distributions. In addition, the adaptive trimming is used to identify potential outliers. Evidence in the form of simulations and data analysis support the new adaptive trimming appro
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