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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Bibliographic Details
Published in:Statistics & probability letters Vol. 36; no. 4; pp. 365 - 372
Main Author: Wang, Hsiuying
Format: Journal Article
Language:English
Published: Elsevier B.V 03.01.1998
Elsevier
Series:Statistics & Probability Letters
Subjects:
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
Online Access:Get full text
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Summary: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