Approximate confidence interval for standard deviation of nonnormal distributions

Authors:
Douglas G. Bonett
Affiliations:
Department of Statistics, Iowa State University, Snedechor Hall, Ames, IA 50011, USA
Venue:
Computational Statistics & Data Analysis
Year:
2006

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Abstract

The exact confidence interval for @s is hypersensitive to minor violations of the normality assumption and its performance does not improve with increasing sample size. An approximate confidence interval for @s is proposed and is shown to be nearly exact under normality with excellent small-sample properties under moderate nonnormality. The small-sample performance of the proposed interval may be further improved using prior kurtosis information. A sample size planning formula is given.