Abstract
Gleser and Hwang (1987) show that there exists no nontrivial confidence interval with finite expected length for many errors-in-variables and related models. Nonetheless, the validity of using these confidence intervals only when their realizations are of finite length remains uninvestigated. We scrutinize this practice from a conditional frequentist viewpoint and find it not justifiable. It is shown that under some conditions, the minimum coverage probability of the confidence interval is zero if conditioning on the event that the confidence interval has finite length. The result is then applied to confirm Neyman's conjecture for Fieller's confidence sets.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
