Abstract #301955

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JSM 2003 Abstract #301955
Activity Number: 245
Type: Contributed
Date/Time: Tuesday, August 5, 2003 : 10:30 AM to 12:20 PM
Sponsor: Section on Nonparametric Statistics
Abstract - #301955
Title: Comparison of MHDE and MLE in Constructing Fixed-Width Confidence Interval
Author(s): Xinyu Wei*+
Companies: Johnson & Johnson Pharmaceutical Research and Development, LLC
Address: Department of Biostatistics, Titusville, NJ, 08560-1504,
Keywords: minimum Hellinger distance ; MLE ; fixed-width confidence interval
Abstract:

Minimum Hellinger distance (MHD) estimator is used to construct a fixed-width confidence interval for a parameter with a prespecified coverage probability. Unlike other robust estimators it has been shown in the literature that MHD estimators simultaneously achieve efficiency at the parametric model and possess desirable robustness properties under gross-error contamination. This once again leads to consideration of sequential sampling rules. Through extensive simulations we assess the effect of gross-error contamination on the expected sample size and coverage probability of the procedures based on MHDE. These are then compared with the performance of similar procedures based on MLE. It is shown that sequential sampling rules based on MHDE continue to perform well even under contamination while the procedures based on MLE perform poorly under contamination.

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