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Robust confidence interval for the variance. (English) Zbl 0918.62023
Summary: Six confidence intervals for the variance of a distribution are proposed. Extensive simulation study is performed to evaluate the performance of the intervals. A confidence interval based on an \(L\)-estimate of scale is found to be robust; in other words, regardless of the sample size and the distribution considered in the study, its actual probability of coverage is quite close to the specified confidence coefficient \(1-\alpha\).

MSC:
62F25 Parametric tolerance and confidence regions
62G15 Nonparametric tolerance and confidence regions
65C05 Monte Carlo methods
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