A simulation study on the performance of bounded length confidence intervals for quantiles with censored data

Abstract

Gardiner, Susarla and van Ryzin (1988) considered the problem of constructing confidence intervals of prescribed accuracy (width ≤= 2d, d > 0) and given coverage probability (l-2α, α ε(0, 1/2)) for quantiles of a distribution function based on censored data. In a subsequent paper they obtained bounds on the error between this coverage probability and 1-2α as d shrinks to zero. The purpose of the presentation here is to examine the behavior of the confidence interval estimation procedure in simulations for moderate values of d, for varying amounts of censoring and different survival distributions.

Keywords:

• coverage probability
• product limit estimator
• stopping time