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Abstract Details

Activity Number: 472
Type: Contributed
Date/Time: Wednesday, August 1, 2012 : 8:30 AM to 10:20 AM
Sponsor: Business and Economic Statistics Section
Abstract - #306129
Title: Student's T Confidence Intervals Adjusted for Skewed and Autocorrelated Populations
Author(s): Kyungduk Ko*+
Companies: Boise State University
Address: Department of Mathematics, Boise, ID, 83725-1555, United States
Keywords: Cornish-Fisher expansion ; Effective number of independent observations ; Modified t statistics ; Autocorrelations ; Skewness ; U.S. GNP

We consider confidence intervals for unknown mean that are robust to not only autocorrelation but skewness in population. They are based on the existing Student's \textit{t} variables adjusted for skewed distributions through Cornish-Fisher and Edgeworth expansions. Then we correct those skewness-adjusted statistics with the method of effective number of independent samples in order to remove or at least reduce the effect of autocorrelation in data. Performance of the proposed confidence intervals is assessed via Monte Carlo simulation, and an application of the procedure to quarterly U.S. GNP data is presented.

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