On a non-parametric confidence interval for the regression slope

DOI10.1007/S40300-017-0109-ZMaRDI QIDQ1689537zbMATH OpenOpenAlexFDO

Authors Róbert Tóth, Ján Somorčík

Publication date 12 January 2018

Published in Metron (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1502.06412

zbMATH Keywords

software RTheil's regressionTukey's confidence intervalWalsh averages

Mathematics Subject Classification ID

Nonparametric tolerance and confidence regions (62G15) Linear regression; mixed models (62J05)

Abstract: We investigate an application of the Tukey's methodology in Theil's regression to obtain a confidence interval for the true slope in the straight line regression model with not necessarily normal errors. This specific approach is implemented since 2005 in a package of the software R; however, without any theoretical background. We illustrate by Monte Carlo simulations, that this methodology, unlike the classical Theil's approach based on Kendall's tau, seriously deflates the true confidence level of the resulting interval. We provide also rigorous proofs in case of four data points (in general) and in case of five data points (under some additional conditions); together with a real life methods usage example in the latter case. Summing up, we demonstrate that one should never combine statistical methods without checking the assumptions of their usage and we also give a warning to the already wide community of R users of Theil's regression from various fields of science.

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Cites work

• Biostatistical design and analysis using R. A practical guide
• scientific article; zbMATH DE number 1373656 (Why is no real title available?)
• scientific article; zbMATH DE number 3055230 (Why is no real title available?)

Cited in

(4)

• Efficiency comparison of new adjusted nonparametric and parametric statistics interval estimation methods in the simple linear regression model
• A nonparametric confidence interval for slope based on spearman's rho
• Coverage probabilities of confidence intervals for the slope parameter of linear regression model when the error term is not normally distributed
• Editorial, special issue on ``Advances in robust statistics

Describes a project that uses

Uses Software

• mblm
• Irri4web
• SuppDists
• biology
• Vinci
• R

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