An alternative method for constructing confidence intervals from M-estimates in linear models

Abstract

We investigate an alternative way of constructing a confidence interval based on M-estimator for a single parameter in a linear model. We compare this confidence interval with a traditional (Wald type) confidence interval theoretically as well as by the means of a Monte-Carlo experiment.

Keywords

• alternative
• method
• constructing
• confidence
• intervals
• M-estimates
• linear
• models