Admissibility of the usual confidence interval in linear regression

Details Admissibility of the usual confidence interval in linear regression Admissibility of the usual confidence interval in linear regression

2010-01-18

arxiv.org/abs/1001.2939v1

Electronic Journal of Statistics, 4, 300-312 (2010)

Mathematics

Statistics Theory

Scientific paper

Consider a linear regression model with independent and identically normally
distributed random errors. Suppose that the parameter of interest is a
specified linear combination of the regression parameters. We prove that the
usual confidence interval for this parameter is admissible within a broad class
of confidence intervals.

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