A robust confidence interval for location for symmetric, long-tailed distributions.
A procedure called the wave-interval is presented for obtaining a 95% confidence interval for the center (mean, median) of a symmetric distribution that is not only highly efficient when the data have a Normal distribution but also performs well when some or all of the data come from a long-tailed distribution such as the Cauchy. Use of the wave-interval greatly reduces the risk of asserting much less than one's data will support. The only table required is the usual t-table. The wave-interval procedure is definitely recommended for samples of ten or more, and appears satisfactory for samples of nine or eight.
Department of Statistics, Princeton University, Princeton, New Jersey 08540.
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Gross