The exact confidence interval for @s is hypersensitive to minor violations of the normality assumption and its performance does not improve with increasing sample size. An approximate confidence interval for @s is proposed and is shown to be nearly exact under normality with excellent small-sample properties under moderate nonnormality. The small-sample performance of the proposed interval may be further improved using prior kurtosis information. A sample size planning formula is given.
['Douglas G. Bonett']
Approximate confidence interval for standard deviation of nonnormal distributions