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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| Vydáno v: | Statistics & probability letters Ročník 36; číslo 4; s. 365 - 372 |
|---|---|
| Hlavní autor: | |
| Médium: | Journal Article |
| Jazyk: | angličtina |
| Vydáno: |
Elsevier B.V
03.01.1998
Elsevier |
| Edice: | Statistics & Probability Letters |
| Témata: | |
| ISSN: | 0167-7152, 1879-2103 |
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| Abstract | 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. |
|---|---|
| AbstractList | 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 [greater-or-equal, slanted] 5. In this paper, we consider the case where p [less-than-or-equals, slant] 4 and prove that it is admissible under the same loss. 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. |
| Author | Wang, Hsiuying |
| Author_xml | – sequence: 1 givenname: Hsiuying surname: Wang fullname: Wang, Hsiuying organization: Department of Business Administration, Chaoyang Institute of Technology, Wufeng, Taichung Country, Taiwan, ROC |
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| Cites_doi | 10.1214/aos/1176347602 |
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| Copyright | 1998 |
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| Issue | 4 |
| Keywords | Admissibility 62C15 Coverage function Constant coverage probability estimator 62C10 Confidence interval |
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| References | Brown (BIB1) 1990; 18 Brown, Hwang (BIB2) 1990 Wang (BIB3) 1995 Wang (10.1016/S0167-7152(97)00083-7_BIB3) 1995 Brown (10.1016/S0167-7152(97)00083-7_BIB2) 1990 Brown (10.1016/S0167-7152(97)00083-7_BIB1) 1990; 18 |
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| Snippet | 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... 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... |
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| StartPage | 365 |
| SubjectTerms | Admissibility Confidence interval Confidence interval Admissibility Coverage function Constant coverage probability estimator Constant coverage probability estimator Coverage function |
| Title | Admissibility of the constant-coverage probability estimator for estimating the coverage function of certain confidence interval |
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