In the report, the performance of several methods of constructing confidence intervals for a mean of stationary sequence is investigated using extensive simulation study. The studied approaches are sample reuse block methods which do not resort to bootstrap. It turns out that the performance of some known methods strongly depends on a model under consideration and on whether a two-sided or one-sided interval is used. Among the methods studied, the block method based on weak convergence result by Wu (2001) seems to perform most stably.
@article{bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1025,
author = {Jan \'Cwik and Jan Mielniczuk},
title = {On construction of confidence intervals for a mean of dependent data},
journal = {Discussiones Mathematicae Probability and Statistics},
volume = {21},
year = {2001},
pages = {121-147},
zbl = {1006.62044},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1025}
}
Jan Ćwik; Jan Mielniczuk. On construction of confidence intervals for a mean of dependent data. Discussiones Mathematicae Probability and Statistics, Tome 21 (2001) pp. 121-147. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1025/
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