Robust generalized confidence intervals

被引：2

作者：

Mu, Weiyan ^{[1
]}

Xiong, Shifeng ^{[2
]}

机构：

[1] Beijing Univ Civil Engn & Architecture, Sch Sci, Beijing, Peoples R China

[2] Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 2017年 / 46卷 / 08期

基金：

中国国家自然科学基金;

关键词：

Breakdown; Confidence distribution; Fiducial inference; Generalized pivotal quantity; Location-scale family; Monte Carlo; Simultaneous confidence intervals;

D O I：

10.1080/03610918.2016.1189566

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Most interval estimates are derived from computable conditional distributions conditional on the data. In this article, we call the random variables having such conditional distributions confidence distribution variables and define their finite-sample breakdown values. Based on this, the definition of breakdown value of confidence intervals is introduced, which covers the breakdowns in both the coverage probability and interval length. High-breakdown confidence intervals are constructed by the structural method in location-scale families. Simulation results are presented to compare the traditional confidence intervals and their robust analogues.

引用

页码：6049 / 6060

页数：12

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