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Admissibility of Confidence Estimators in the Regression Model

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  • Wang, Hsiuying

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.

Suggested Citation

  • Wang, Hsiuying, 2001. "Admissibility of Confidence Estimators in the Regression Model," Journal of Multivariate Analysis, Elsevier, vol. 76(2), pages 267-276, February.
    • Handle: RePEc:eee:jmvana:v:76:y:2001:i:2:p:267-276
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    1. Wang, Hsiuying, 1998. "Admissibility of the constant-coverage probability estimator for estimating the coverage function of certain confidence interval," Statistics & Probability Letters, Elsevier, vol. 36(4), pages 365-372, January.
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