Admissibility of the usual confidence interval in linear regression
classification
🧮 math.ST
stat.TH
keywords
confidencelinearregressionintervalparameterusualadmissibilityadmissible
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Consider a linear regression model with independent and identically normally distributed random errors. Suppose that the parameter of interest is a specified linear combination of the regression parameters. We prove that the usual confidence interval for this parameter is admissible within a broad class of confidence intervals.
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