Admissibility of the usual confidence interval in linear regression
Statistics Theory
2017-10-18 v1 Statistics Theory
Abstract
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.
Cite
@article{arxiv.1001.2939,
title = {Admissibility of the usual confidence interval in linear regression},
author = {Paul Kabaila and Khageswor Giri and Hannes Leeb},
journal= {arXiv preprint arXiv:1001.2939},
year = {2017}
}