Sensitivity of normal theory methods to model misspecification in the calculation of upper confidence limits on the risk function for continuous responses

Normal theory procedures for calculating upper confidence limits (UCL) on the risk function for continuous responses work well when the data come from a normal distribution. However, if the data come from an alternative distribution, the application of the normal theory procedures may lead serious over- or under-coverage depending upon the alternative distribution. In this paper we conduct simulation studies to investigate the sensitivity of three normal theory UCL procedures to departures from normality. Data from several gamma, reciprocal gamma, and lognormal distributions are considered. The normal theory procedures are applied to both the raw data and the log-transformed data.