Journal
ELECTRONIC JOURNAL OF STATISTICS
Volume 4, Issue -, Pages 300-312Publisher
INST MATHEMATICAL STATISTICS
DOI: 10.1214/10-EJS563
Keywords
Admissibility; compromise decision theory; confidence interval; decision theory
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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.
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