Admissibility of the usual confidence interval in linear regression. (English) Zbl 1329.62049

Summary: 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.


62C15 Admissibility in statistical decision theory
62J05 Linear regression; mixed models
Full Text: DOI arXiv Euclid


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