Admissibility of Confidence Estimators in the Regression Model

Hsiuying Wang

Journal of Multivariate Analysis, 2001, vol. 76, issue 2, 267-276

Abstract: In the regression model, we assume that the independent variables are random instead of fixed. Consider the problem of estimating the coverage function of a usual confidence interval for the unknown intercept parameter. In this paper, we consider a case in which the number of unknown parameters is smaller than 5. We show that the usual constant coverage probability estimator is admissible in the usual sense in this case. Note that this estimator is inadmissible in the usual sense in the other case where the number of unknown parameters is greater than 4.

Keywords: confidence interval; admissibility; coverage function; the usual coverage probability estimator; ancillary statistic (search for similar items in EconPapers)
Date: 2001
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