Admissibility of the usual confidence interval in linear regression
Paul Kabaila, Khageswor Giri, and Hannes Leeb
Source: Electron. J. Statist. Volume 4
(2010), 300-312.
Abstract
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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Permanent link to this document: http://projecteuclid.org/euclid.ejs/1268230826
Digital Object Identifier: doi:10.1214/10-EJS563
Mathematical Reviews number (MathSciNet): MR2645486
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Zentralblatt MATH: 1166.62379
Digital Object Identifier: doi:10.1214/aoms/1177697608
Project Euclid: euclid.aoms/1177697608
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