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It is assumed that as a result of observations on y at \\(x_ 1,...,x_ n\\in X\\) there is available an estimator \\^m(x) of m(x), \\(x\\in X\\), and an independent estimator S of \\(\\sigma\\), in such a way that \\(U_ x\\equiv (m(x)-\\hat m(x))S^{-1}\\) has a known distribution for every \\(x\\in X\\). This applies for instance to the normal multiple linear regression model, where each \\(U_ x\\) has essentially a t-distribution. The object is to construct simultaneous confidence intervals for all m(x) of the form  \\[  (*)\\quad\\hat m(x)+Sp_ 1(x)\\leq m(x)\\leq\\hat m(x)+Sp_ 2(x),\\quad x\\in X.  \\]  For given \\(0<\\alpha <1\\), the usual coverage probability criterion requires (*) to hold simultaneously for all \\(x\\in X\\) with probability at least 1-\\(\\alpha\\). Since this is an inconvenient restriction from the point of view of deriving optimal confidence bands the author proposes a new criterion that is easier to handle.    Let \\(\\mu\\) be a measure on X and define the expected coverage measure (ECM) as the expected \\(\\mu\\) -measure of the x-set on which (*) holds. Then require EC\\(M\\geq 1-\\alpha\\), and subject to this condition minimize a given functional \\(L(p_ 2-p_ 1)\\). It is assumed that L has the form \\(L(h)=\\int\\ell_ x(h(x))\\mu (dx) (\\ell_ x(\\cdot)\\geq 0\\) and twice continuously differentiable), and that \\(U_ x\\) has a unimodal density \\(f_ x\\) with mode \\(\\theta\\) (x). Under some additional conditions, the most important being \\(\\ell '\\!_ x\\geq 0\\) and \\(\\ell ''\\!_ x\\geq 0\\), an optimal solution has the following form: choose \\(c>0\\), then for \\(\\mu\\) - a.e. \\(x\\in X\\) take the \\(p_ i(x)\\) so that \\(f_ x(p_ i(x))=c\\ell '\\!_ x(p_ 2(x)-p_ 1(x)), i=1,2\\), if this is possible; if not possible then take \\(p_ i(x)=\\theta (x)\\), \\(i=1,2\\). Consequences for the linear regression model are explored. 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