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Details for article 1 of 21 found articles
| Title: |
A Prediction Interval for M Estimators |
| Author: |
Horn, Paul S. |
| Appeared in: |
Communications in statistics |
| Paging: | Volume 18 (1989) nr. 3 pages 1155-1167 |
| Year: |
1989 |
| Contents: |
There has been much work in the area of estimating the center of a symmetric population. If one allows for the possibility that the population may be heavy-tailed then robust procedures, and in particular M estimators, have proven quite popular. In this paper we consider the following problem: given a random sample, produce an interval such that the M estimator derived from a future random sample (from the same population) will lie in that interval with some preassigned probability. Clearly such an interval is of use, especially in quality control where prediction is vital. In this paper such an interval is proposed based on asymptotic theory. A simulation study was run for a variety of sample sizes (the sizes of the observed and future samples need not be equal) and distributions. The particular M estimator of choice is that based on the biweight ψ function. The proposed interval performs reasonably well relative to the best that can be achieved asymptotically. |
| Publisher: |
Taylor & Francis |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 1 of 21 found articles
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