Electronic Journal of Statistics

Admissibility of the usual confidence interval in linear regression

Paul Kabaila, Khageswor Giri, and Hannes Leeb

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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.

Article information

Electron. J. Statist., Volume 4 (2010), 300-312.

First available in Project Euclid: 10 March 2010

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 62C15: Admissibility
Secondary: 62J05: Linear regression

Admissibility compromise decision theory confidence interval decision theory


Kabaila, Paul; Giri, Khageswor; Leeb, Hannes. Admissibility of the usual confidence interval in linear regression. Electron. J. Statist. 4 (2010), 300--312. doi:10.1214/10-EJS563. https://projecteuclid.org/euclid.ejs/1268230826

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