The Chow and Robbins Fixed Width Confidence Interval Procedure When the Second Moment Barely Does Not Exist

Abstract

We investigate the behavior of the Chow and Robbins asymptotic fixed width confidence interval procedure when the underlying i.i.d. random variables do not necessarily have a finite second moment, however, are in the domain of attraction of a normal law.Key Words: Fixed width confidence intervals; Domain of attraction of a normal law.