Abstract
. We propose and study three confidence intervals (CIs) centered at an estimator that is intentionally biased to reduce mean squared error. The first CI simply uses an unbiased estimator’s standard error; compared to centering at the unbiased estimator, this CI has higher coverage probability for confidence levels above 91. 7%, even if the biased and unbiased estimators have equal mean squared error. The second CI trades some of this “excess” coverage for shorter length. The third CI is centered at a convex combination of the two estimators to further reduce length. Practically, these CIs apply broadly and are simple to compute.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have