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Empirical evidence for adaptive confidence intervals and identification of outliers using methods of trimming

Clarke, B.R. (1994) Empirical evidence for adaptive confidence intervals and identification of outliers using methods of trimming. Australian Journal of Statistics, 36 (1). pp. 45-58.

Link to Published Version: http://dx.doi.org/10.1111/j.1467-842X.1994.tb00637...
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Abstract

In an attempt to apply robust procedures, conventional t-tables are used to approximate critical values of a Studentized t-statistic which is formed from the ratio of a trimmed mean to the square root of a suitably normed Winsorized sum of squared deviations. It is shown here that the approximation is poor if the proportion of trimming is chosen to depend on the data. Instead a data dependent alternative is given which uses adaptive trimming proportions and confidence intervals based on trimmed likelihood statistics. Resulting statistics have high efficiency at the normal model, proper coverage for confidence intervals, yet retain breakdown point one half. Average lengths of confidence intervals are competitive with those of recent Studentized confidence intervals based on the biweight over a range of underlying distributions. In addition, the adaptive trimming is used to identify potential outliers. Evidence in the form of simulations and data analysis support the new adaptive trimming approach.

Publication Type: Journal Article
Murdoch Affiliation: School of Chemical and Mathematical Science
Publisher: Blackwell Publishing Inc
URI: http://researchrepository.murdoch.edu.au/id/eprint/4799
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