Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2000,94
The paper concerns the fixed-width confidence intervals for location based on M- estimators in the location model. A robust three-stage procedure is proposed and its asymptotic properties are studied. The performance of the procedure depends on some tuning parameters. Their effect on the proposed confidence interval is checked together with the overall behaviour of the procedure in a simulation study.
fixed-width confidence intervals sequential estimation bootstrap for M-estimators