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Abstract
Robust estimation procedures have been the subject of a large number of comparative studies. Less attention has been paid to confidence intervals and tests based on these procedures and to cases in which the underlying distribution is nonsymmetric. This article investigates the properties of just one interval M estimator of location. The estimator is quite easy to compute, and the associated point estimator of location has proven to be quite efficient in comparative studies. The results indicate that in most cases (including some skewed distributions) the confidence coefficient of the estimator holds quite close to its specified value.
