Approximate confidence interval for standard deviation of nonnormal distributions
The exact confidence interval for a is hypersensitive to minor violations of the normality assumption and its performance does not improve with increasing sample size. An approximate confidence interval for a is proposed and is shown to be nearly exact under normality with excellent small-sample properties under moderate normonnality. The small-sample performance of the proposed interval may be further improved using prior kurtosis information. A sample size planning formula is given. (c) 2004 Elsevier B.V. All rights reserved.
sample size kurtosis dispersion interval estimation prior information variability