The Robustness of Stein's Two-Stage Procedure
Stein 两阶段程序的稳健性
The expressions for coverage probability and ASN of the Stein's two-stage confidence interval procedure for estimating the normal mean have been obtained under the assumption that the underlying distribution is, in fact, different from normal but could be approximated by the first four terms of Edgeworth series. The comparison of coverage probabilities with the corresponding probabilities obtained for the normal distribution shows that the procedure is quite insensitive to…