Admissibility of the constant-coverage probability estimator for estimating the coverage function of certain confidence interval

Consider a confidence interval for a randomly chosen linear combination of the elements of the mean vector of a p-dimensional normal distribution. The constant coverage probability is the usual estimator for the coverage function of this interval. Wang (1995) have shown that this estimator is inadmi...

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Vydané v:	Statistics & probability letters Ročník 36; číslo 4; s. 365 - 372
Hlavný autor:	Wang, Hsiuying
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Elsevier B.V 03.01.1998 Elsevier
Edícia:	Statistics & Probability Letters
Predmet:	Admissibility Confidence interval Confidence interval Admissibility Coverage function Constant coverage probability estimator Constant coverage probability estimator Coverage function Admissibility 62C15 Coverage function Constant coverage probability estimator 62C10 Confidence interval
ISSN:	0167-7152, 1879-2103
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Popis
Shrnutí:	Consider a confidence interval for a randomly chosen linear combination of the elements of the mean vector of a p-dimensional normal distribution. The constant coverage probability is the usual estimator for the coverage function of this interval. Wang (1995) have shown that this estimator is inadmissible under the squared error loss, if p ⩾ 5. In this paper, we consider the case where p ⩽ 4 and prove that it is admissible under the same loss.
ISSN:	0167-7152 1879-2103
DOI:	10.1016/S0167-7152(97)00083-7