Tyralis, Hristos; Koutsoyiannis, Demetris; Kozanis, Stefanos - In: Computational Statistics 28 (2013) 4, pp. 1501-1527
We derive a new algorithm for calculating an exact confidence interval for a parameter of location or scale family, based on a two-sided hypothesis test on the parameter of interest, using some pivotal quantities. We use this algorithm to calculate approximate confidence intervals for the...