Discussiones Mathematicae Probability and Statistics 23(2) (2003) 123-145

ON SMALL SAMPLE INFERENCE FOR COMMON MEAN IN HETEROSCEDASTIC ONE-WAY MODEL

Viktor Witkovský, Alexander Savin

Institute of Measurement Science, Slovak Academy of Sciences
Dúbravská cesta 9, 841 04 Bratislava, Slovakia
 e-mail: witkovsky@savba.sk
 e-mail: savin@savba.sk

Gejza Wimmer

Matej Bel University,
Tajovského 40, 974 01 Banská Bystrica, Slovakia
and
Mathematical Institute, Slovak Academy of Sciences
Stefánikova 49, 814 73 Bratislava, Slovakia
e-mail: wimmer@mat.savba.sk

Abstract

In this paper we consider and compare several approximate methods for making small-sample statistical inference on the common mean in the heteroscedastic one-way random effects model. The topic of the paper was motivated by the problem of interlaboratory comparisons and is also known as the (traditional) common mean problem. It is also closely related to the problem of multicenter clinical trials and meta-analysis. Based on our simulation study we suggest to use the approach proposed by Kenward & Roger (1997) as an optimal choice for construction of the interval estimates of the common mean in the heteroscedastic one-way model.

Keywords: interlaboratory trials, common mean, generalized p-values, Kenward-Roger method.

2000 Mathematics Subject Classification: 62F25, 62E15.

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Received 9 January 2003
Revised 9 December 2003