Comparison of confidence intervals for variance components in an unbalanced one-way random effects model
Comparison of confidence intervals for variance components in an unbalanced one-way random effects model

Summary/Abstract: The purpose of this paper is to study and compare the methods for constructing confidenceintervals for variance components in an unbalanced one-way random effects model. Themethods are based on a classical exact, generalised pivotal quantity, a fiducial inference anda fiducial generalised pivotal quantity. The comparison of criteria involves the empiricalcoverage probability that maintains at the nominal confidence level of 0.95 and the shortestaverage length of the confidence interval. The simulation results show that the method basedon the generalised pivotal quantity and the fiducial inference perform very well in termsof both the empirical coverage probability and the average length of the confidence interval.The classical exact method performs well in some situations, while the fiducial generalisedpivotal quantity performs well in a very unbalanced design. Therefore, the method basedon the generalised pivotal quantity is recommended for all situations.

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