Efficiency Comparison of New Adjusted Nonparametric and Parametric Statistics Interval Estimation Methods in the Simple Linear Regression Model

In this research, the authors were interested in an efficiency comparison study of new adjusted nonparametric and parametric statistics interval estimation methods in the simple linear regression model. The independent variable and the error came from normal, scale-contaminated normal, and gamma distributions. Six point estimations were performed, for example, least squares, Bayesian, Jack knife, Theil, optimum-type Theil, and new adjusted Theil–Sen and Siegel methods in the simple linear regression model with 1,000 iterations. The criteria used to consider in this study were the coefficient of the confidence interval and the average width of the confidence interval used to compare and determine the optimal effectiveness for six interval estimations of the simple linear regression model. In the interval estimation for normal and scale-contaminated normal distributions of β0, the least squares method had the narrowest average width of confidence interval. For the interval estimation of β1, the Bayesian method had the narrowest average width of confidence interval in a small variance of 1, followed by the same of optimum-type Theil and new adjusted Theil–Sen and Siegel methods, and Theil method, respectively. In the interval estimation for gamma distribution of β1, the Bayesian method had the narrowest average width of confidence interval, followed by optimum-type Theil, new adjusted Theil–Sen and Siegel, and Theil methods, respectively. The optimum-type Theil method was good for medium sample size, while Theil and new adjusted Theil–Sen and Siegel methods were good for small and large sample sizes. Therefore, new adjusted Theil–Sen and Siegel method can be used in many situations and can be used in place of optimum-type Theil and Theil methods for nonparametric statistics interval estimation.