Fixed Accuracy Interval Estimation of the Common Variance in an Equi-Correlated Normal Distribution

Abstract

Two-stage procedures are proposed to construct fixed-accuracy confidence intervals for the common variance of an equi-correlated normal distribution. The exact distributions of the stopping variable and the estimator of the common variance at stopping are derived. We also derive exact formulas for the expectations of functions of the stopping variable and the estimator of the common variance at stopping. The coverage probabilities of the proposed interval estimator are computed exactly and are shown to be nearly the same as the prescribed level.

Keywords:

• Common variance
• Equi-correlated normal
• Exact computations
• Fixed-accuracy
• Simulations
• Stopping variable
• Two-stage sampling

Subject Classifications:

• 60G51
• 60K15
• 60K40

ACKNOWLEDGMENT

We thank an Associate Editor and the reviewers for their helpful feedback.

Notes

Recommended by T. K. S. Solanky