data depth trimming counterpart of the classical (or ) procedure数据深度削减总统的古典(或)过程.pdfVIP

Hindawi Publishing Corporation Journal of Probability and Statistics Volume 2009, Article ID 373572, 9 pages doi:10.1155/2009/373572 Research Article Data Depth Trimming Counterpart of the Classical t (or T2) Procedure Yijun Zuo Department of Statistics and Probability, Michigan State University, East Lansing, MI 48824, USA Correspondence should be addressed to Yijun Zuo, yijun.zuo@ Received 20 July 2009; Revised 11 October 2009; Accepted 14 October 2009 Recommended by Zhidong Bai The classical t or T2 in high dimensions inference procedure for unknown mean μ : X ± tα n − 1S √ −1 2 n / n or {μ : nx − μ S x − μ ≤ χ1−α p} is so fundamental in statistics and so prevailing in practices; it is regarded as an optimal procedure in the mind of many practitioners. It this manuscript we present a new procedure based on data depth trimming and bootstrapping that can outperform the classical t or T2 in high dimensions confidence interval or region procedure. Copyright q 2009 Yijun Zuo. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. 1. Introduction Let Xn : {X , . . . , X } be a random sample from distribution F with an unknown mean 1 n parameter μ. The most prevailing procedure for estimating μ is the classical t-confidence interval. A 1001 − 2α% confidence interval CI for μ and large n is s , X ± t n − 1 √