Optimum Tolerance Regions and Power When Sampling From Some Non-Normal Universes

Abstract

We assume familiarity with the concepts defined in [1] and [2], where optimum $\beta$-expectation tolerance regions and their power functions were found for $k$-variate normal distributions. The method used is to reduce this problem to that of solving an equivalent hypothesis testing problem. It is the purpose of this paper to find optimum $\beta$-expectation tolerance regions for the single and double exponential distributions, and to exhibit the corresponding power functions. Let $X = (X_1, \cdots, X_n)$ be a random sample point in $n$ dimensions, where each $X_i$ is an independent observation, distributed by some continuous probability distribution function. It is often desirable to estimate on the basis of such a sample point a region, say $S(X_1, \cdots, X_n)$, which contains a given fraction $\beta$ of the parent distribution. We usually seek to estimate the center 100 $\beta$% of the distribution and/or one of the 100 $\beta$% tails of the parent distribution.