Note on a paradox in decision-theoretic interval estimation

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.

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Year of publication:	2013
Authors:	Kabaila, Paul
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 1, p. 123-126
Publisher:	Elsevier
Subject:	Bayes’ rule \| Confidence interval \| Decision theory \| Interval estimator

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010593904