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.
Record created on 2006-04-04, modified on 2016-08-08