Note on a paradox in decision-theoretic interval estimation

Paul Kabaila

Statistics & Probability Letters, 2013, vol. 83, issue 1, 123-126

Abstract: Casella, Hwang and Robert, Statistica Sinica, 1993, consider a loss function that is a linear combination of the interval length and the indicator function that this interval includes the parameter of interest. They show that this leads to a confidence interval for the normal mean with paradoxical behavior. We show that a simple modification of this loss function removes this behavior.

Keywords: Bayes’ rule; Confidence interval; Decision theory; Interval estimator (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1016/j.spl.2012.08.021

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