文章基本信息

标题：Confidence Intervals for the Mean of Non-Normal Distribution: Transform or Not to Transform
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作者：Jolynn Pek ; Augustine C. M. Wong ; Octavia C. Y. Wong 等
期刊名称：Open Journal of Statistics
印刷版ISSN：2161-718X
电子版ISSN：2161-7198
出版年度：2017
卷号：07
期号：03
页码：405-421
DOI：10.4236/ojs.2017.73029
语种：English
出版社：Scientific Research Publishing
摘要：In many areas of applied statistics, confidence intervals for the mean of the population are of interest. Confidence intervals are typically constructed as-suming normality although non-normally distributed data are a common occurrence in practice. Given a large enough sample size, confidence intervals for the mean can be constructed by applying the Central Limit Theorem or by the bootstrap method. Another commonly used method in practice is the back-transformation method, which takes on the following three steps. First, apply a transformation to the data such that the transformed data are normally distributed. Second, obtain confidence intervals for the transformed mean in the usual manner, which assumes normality. Third, apply the back- transformation to obtain confidence intervals for the mean of the original, non-transformed distribution. The parametric Wald method and a small sample likelihood-based third order method, which can address non-normality, are also reviewed in this paper. Our simulation results suggest that common approaches such as back-transformation give erroneous and misleading results even when the sample size is large. However, the likelihood-based third order method gives extremely accurate results even when the sample size is small.
关键词：Back-Transformation;Bootstrap;Central Limit Theorem;Delta Method;Maximum Likelihood Estimate;Third Order Method