Comparison of confidence intervals on the among group variance in the unbalanced variance component model

Abstract

In this article, we compare four methods for constructing approximate confidence intervals on the among group variance component for the unbalanced one-way variance component model. A simulation study is conducted to compare the estimated coverage probabilities of these intervals. Two of these methods, the one by Park and Burdick [Park, D.J. and Burdick, R.K., 2003, Performance of confidence intervals in regression models with unbalanced one-fold nested error structures. Communications in Statistics Simulation and Computation, 32, 717–732.] and the one by Li and Li [Li, X., Li, G., 2005, Confidence intervals on sum of variance components with unbalanced designs. Communications in Statistics Theory and Methods, 34, 833–845.], appear to be the best in all cases considered.

Keywords:

• Variance component
• Approximate confidence interval
• Coverage probability

Acknowledgements

The authors are grateful to referees for their valuable comments and suggestions. This work has been partly supported by grant no. 30600119 and 90403130 from National Natural Science Foundation, and grant 2006KJZ01 from Shandong University of Technology.