A Note on Winsorized T

Karen K. Yuen

Journal of the Royal Statistical Society Series C, 1971, vol. 20, issue 3, 297-304

Abstract: The method of shortest confidence interval is proposed to be used as an insurance policy to provide confidence intervals for the mean of samples suspected to be contaminated by scalar error. An explanation is given of g‐times Winsorization and the method of the shortest confidence interval. A less conservative confidence level is suggested for the method of shortest confidence interval for different values of g, and the results are presented in the forms of a graph and approximate formulae. Evaluation of the suggested method is made by comparing the mean lengths of intervals with those produced by Student's t under null (not contaminated) and scalar‐contaminated situations from normal distributions.

Date: 1971
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