Simultaneous confidence intervals for ratios of means of several lognormal distributions: A parametric bootstrap approach

S.M. Sadooghi-Alvandi and A. Malekzadeh

Computational Statistics & Data Analysis, 2014, vol. 69, issue C, 133-140

Abstract: For constructing simultaneous confidence intervals for the ratios of means of several lognormal distributions, we propose a new parametric bootstrap method, which is different from an inaccurate parametric bootstrap method previously considered in the literature. Our proposed method is conceptually simpler than other proposed methods, which are based on the concepts of generalized pivotal quantities and fiducial generalized pivotal quantities. Also, our extensive simulation results indicate that our proposed method consistently performs better than other methods: its coverage probability is close to the nominal confidence level and the resulting intervals are typically shorter than the intervals produced by other methods.

Keywords: Nuisance parameters; Monte Carlo methods; Coverage probability; Generalized pivotal quantity; Fiducial generalized pivotal quantity; Simulation (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:69:y:2014:i:c:p:133-140

DOI: 10.1016/j.csda.2013.07.039

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