Conditional behavior of confidence intervals

This paper studies conditional properties of equivariant confidence intervals of a location parameter. The probability of covering the true value of the location parameter conditional on the location-and-scale configuration is computed. Also, the asymptotic distribution of this coverage probability is derived. Finally, the resulting expressions are applied to various confidence bounds such as the Wilcoxon, the Student $t$ and the Cauchy likelihood bound.


Published in:
Scandinavian Journal of Statistics. Theory and Applications, 21, 159-167
Year:
1994
Laboratories:




 Record created 2006-04-04, last modified 2018-03-17


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