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Confidence Intervals for the Mean of Non-Normal Distribution: Transform or Not to Transform

Open Journal of Statistics 2017年第3期7卷 405-421页

作者： Jolynn Pek Augustine C. M. Wong Octavia C. Y. Wong Department of Psychology York University Toronto Canada Department of Mathematics and Statistics York University Toronto Canada

In many areas of applied statistics, confidence intervals for the mean of the population are of interest. Confidence intervals are typically constructed as-suming normality although non-normally distributed data are a common occurrence in practice. Given a large enough sample size, confidence intervals for the mean can be constructed by applying the Central Limit Theorem or by the bootstrap method. Another commonly used method in practice is the back-transformation method, which takes on the following three steps. First, apply a transformation to the data such that the transformed data are normally distributed. Second, obtain confidence intervals for the transformed mean in the usual manner, which assumes normality. Third, apply the back- transformation to obtain confidence intervals for the mean of the original, non-transformed distribution. The parametric Wald method and a small sample likelihood-based third order method, which can address non-normality, are also reviewed in this paper. Our simulation results suggest that common approaches such as back-transformation give erroneous and misleading results even when the sample size is large. However, the likelihood-based third order method gives extremely accurate results even when the sample size is small.

关键词： back-transformation Bootstrap Central Limit Theorem Delta Method Maximum Likelihood Estimate Third Order Method

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