Open Access
2010 Admissibility of the usual confidence interval in linear regression
Paul Kabaila, Khageswor Giri, Hannes Leeb
Electron. J. Statist. 4: 300-312 (2010). DOI: 10.1214/10-EJS563


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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Paul Kabaila. Khageswor Giri. Hannes Leeb. "Admissibility of the usual confidence interval in linear regression." Electron. J. Statist. 4 300 - 312, 2010.


Published: 2010
First available in Project Euclid: 10 March 2010

zbMATH: 1329.62049
MathSciNet: MR2645486
Digital Object Identifier: 10.1214/10-EJS563

Primary: 62C15
Secondary: 62J05

Keywords: Admissibility , compromise decision theory , Confidence interval , decision theory

Rights: Copyright © 2010 The Institute of Mathematical Statistics and the Bernoulli Society

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