Robust generalized confidence intervals |
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| Authors: | Weiyan Mu |
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| Institution: | School of Science, Beijing University of Civil Engineering and Architecture, Beijing, China |
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| Abstract: | 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. |
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| Keywords: | Breakdown Confidence distribution Fiducial inference Generalized pivotal quantity Location-scale family Monte Carlo Simultaneous confidence intervals |
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