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Comparison of two types of confidence intervals based on Wilcoxon-type R-estimators

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  • Omelka, Marek

Abstract

Omelka [Omelka, M., 2007. Second-order linearity of Wilcoxon rank statistics. Ann. Inst. Statist. Math. 59, 385-402] proposed an alternative way of constructing a confidence interval based on R-estimators for single parameters in linear models. We will compare this confidence interval with a traditional (Wald type) confidence interval theoretically as well as by means of a Monte Carlo experiment. As a by-product we will show the asymptotic normality of the estimator of [integral operator]f2 proposed in [Koul, H.L., Sievers, G.L., McKean, J., 1987. An estimator of the scale parameter for the rank analysis of linear models under general score functions. Scand. J. Statist. 14, 131-141] under somewhat different assumptions from those in [Thewarepperuma, P.S., 1987. On estimation of some density functionals under regression and one sample models. Ph.D. Thesis. Michigan State University, Department of Statistics and Probability].

Suggested Citation

  • Omelka, Marek, 2008. "Comparison of two types of confidence intervals based on Wilcoxon-type R-estimators," Statistics & Probability Letters, Elsevier, vol. 78(18), pages 3366-3372, December.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:18:p:3366-3372
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    References listed on IDEAS

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    1. Aubuchon, James C. & Hettmansperger, Thomas P., 1989. "Rank-based inference for linear models: asymmetric errors," Statistics & Probability Letters, Elsevier, vol. 8(2), pages 97-107, June.
    2. Marek Omelka, 2007. "Second-order Linearity of Wilcoxon Statistics," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 59(2), pages 385-402, June.
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    Cited by:

    1. Delphine Cassart & Marc Hallin & Davy Paindaveine, 2010. "On the estimation of cross-information quantities in rank-based inference," Working Papers ECARES ECARES 2010-010, ULB -- Universite Libre de Bruxelles.

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