Conditional properties of interval estimators of the normal variance

DOI10.1214/AOS/1176350599MaRDI QIDQ1101157zbMATH OpenOpenAlexFDO

Authors Jon M. Maatta, George Casella

Publication date 1987

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176350599

zbMATH Keywords

betting proceduresconditional propertiesequally-tailedlower confidence intervalminimum-lengthNeyman- shortestnormal distributionnormal varianceone-sided caseshortest-unbiased intervaltwo-sided caseUMP testupper interval

Mathematics Subject Classification ID

Statistical decision theory (62C99) Parametric tolerance and confidence regions (62F25)

Review text

The authors have examined both one-sided and two-sided interval estimators for the normal variance when the mean is unknown using conditional criteria and found that most intervals have acceptable conditional properties. In the two-sided case they examine three well- known intervals, namely, equally-tailed, minimum-length and shortest- unbiased (Neyman-shortest), and find the shortest-unbiased interval possessing the strongest conditional properties, and with the minimum- length a close second one. In the one-sided case they find that the lower confidence interval (which results from inverting the UMP test of \(H_ 0:\sigma \leq \sigma_ 0)\) has weaker conditional properties than the upper interval (where a UMP test does not exist).

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