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Robust Confidence Intervals for Regression Parameters

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The paper considers the problem of finding accurate small sample confidence intervals for regression parameters. Its approach is to construct conditional intervals with good robustness characteristics. This robustness is obtained by the choice of the density under which the conditional interval is computed. Both bounded influence and S-estimate style intervals are given. The required tail area computations are carried out using the results of DiCiccio, Field & Fraser (1990).
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Keywords: Bounded influence; Pitman intervals; S-estimates; conditional inference; confidence intervals; robust

Document Type: Research Article

Affiliations: 1: Dalhousie University, 2: The Australian National University

Publication date: March 1, 1998

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