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