Improved confidence regions for a mean vector under general conditions

Authors:
Jin Xu;Arjun K. Gupta
Affiliations:
Department of Mathematics and Statistics, Bowling Green State University, Bowling Green, OH 43403, USA;Department of Mathematics and Statistics, Bowling Green State University, Bowling Green, OH 43403, USA
Venue:
Computational Statistics & Data Analysis
Year:
2006

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Abstract

In this paper, we propose two different confidence regions for a mean vector under general conditions when the population of interest is nonnormal and the sample size is moderate. It is shown that both confidence regions will improve the accuracy of the approximation in the sense that the coverage error is of order on^-^1. Monte Carlo examples are demonstrated to show the performance with comparison to the classical methods.