In this paper six confidence intervals for the variance of a distribution are proposed. Extensive simulation study is performed to evaluate the performance of the intervals. A confidence interval based on an L-estimate of scale is found to be robust; in otherwords, regardless of the sample size and the distribution considered in the study, its actual probability of coverage is quite close to the specified confidence coefficient 1 — α.
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Barham et al. (1999) studied this question.
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