On fixed-length confidence intervals for a bounded normal mean

Holger Drees

Statistics & Probability Letters, 1999, vol. 44, issue 4, 399-404

Abstract: Consider the problem of estimating the mean of a single normal random variable when the mean is known to be bounded. We establish the minimax affine estimator under zero-one loss and discuss minimal fixed-length affine confidence intervals. Moreover, the minimal length of arbitrary fixed-size confidence intervals is described and the maximal loss of efficiency caused by the restriction to affine estimators is determined.

Keywords: Affine; estimator; Efficiency; Gaussian; shift; Minimax; estimator; Zero-one; loss (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (4)

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