CRAN/E | ConfIntVariance

ConfIntVariance

Confidence Interval for the Univariate Population Variance without Normality Assumption

Installation

About

Surrounds the usual sample variance of a univariate numeric sample with a confidence interval for the population variance. This has been done so far only under the assumption that the underlying distribution is normal. Under the hood, this package implements the unique least-variance unbiased estimator of the variance of the sample variance, in a formula that is equivalent to estimating kurtosis and square of the population variance in an unbiased way and combining them according to the classical formula into an estimator of the variance of the sample variance. Both the sample variance and the estimator of its variance are U-statistics. By the theory of U-statistic, the resulting estimator is unique. See Fuchs, Krautenbacher (2016) doi:10.1080/15598608.2016.1158675 and the references therein for an overview of unbiased estimation of variances of U-statistics.

Key Metrics

Version 1.0.2
Published 2019-03-10 1865 days ago
Needs compilation? no
License GPL-3
CRAN checks ConfIntVariance results

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Maintainer

Maintainer

Mathias Fuch

mathias@mathiasfuchs.de

Authors

Mathias Fuchs

Material

Reference manual
Package source

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64