On construction of confidence intervals for a mean of dependent data

• Autorzy: Jan Ćwik , Jan Mielniczuk
• Języki publikacji: EN

Abstrakty

EN

In the report, the performance of several methods of constructing confidence intervals for a mean of stationary sequence is investigated using extensive simulation study. The studied approaches are sample reuse block methods which do not resort to bootstrap. It turns out that the performance of some known methods strongly depends on a model under consideration and on whether a two-sided or one-sided interval is used. Among the methods studied, the block method based on weak convergence result by Wu (2001) seems to perform most stably.

Słowa kluczowe

EN

confidence intervals; short-range dependence; reuse block methods; normal approximation; iterated random function sequence

Kategorie tematyczne

• 62G07: Density estimation
• 62G15: Tolerance and confidence regions

• Wydawca: Faculty of Mathematics, Computer Science and Econometrics, University of Zielona Góra
• Czasopismo: Discussiones Mathematicae Probability and Statistics
• Rocznik: 2001
• Tom: 21
• Numer: 2
• Strony: 121-147

Daty

wydano

2001

otrzymano

2001-01-09

Twórcy

autor

Jan Ćwik

• Institute of Computer Science, Polish Academy of Sciences, Ordona 21, 01-237 Warsaw, Poland

autor

Jan Mielniczuk

• Institute of Computer Science, Polish Academy of Sciences, Ordona 21, 01-237 Warsaw, Poland
• Polish-Japanese Institute of Computer Technologies, Koszykowa 86, 02-008 Warszaw, Poland

Bibliografia

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Identyfikatory

DOI

10.7151/dmps.1025