Variance stabilization for a scalar parameter

Thomas J. DiCiccio, Anna Clara Monti and G. Alastair Young

Journal of the Royal Statistical Society Series B, 2006, vol. 68, issue 2, 281-303

Abstract: Summary. We present a variance stabilizing transformation for inference about a scalar parameter that is estimated by a function of a multivariate M‐estimator. The transformation proposed is automatic, computationally simple and can be applied quite generally. Though it is based on an intuitive notion and entirely empirical, the transformation is shown to have an appropriate justification in providing variance stabilization when viewed from both parametric and nonparametric perspectives. Further, the transformation repairs deficiencies of existing methods for variance stabilization. The transformation proposed is illustrated in a range of examples, and its effectiveness to yield confidence limits having low coverage error is demonstrated in a numerical example.

Date: 2006
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9868.2006.00544.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jorssb:v:68:y:2006:i:2:p:281-303

Ordering information: This journal article can be ordered from
http://ordering.onli ... 1111/(ISSN)1467-9868

Access Statistics for this article

Journal of the Royal Statistical Society Series B is currently edited by P. Fryzlewicz and I. Van Keilegom

More articles in Journal of the Royal Statistical Society Series B from Royal Statistical Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().