Exact and Generalized Confidence Intervals in the Common Mean Problem
Several exact confidence intervals for the common mean of independent normal populations have been proposed in the literature. Not all of these intervals always produce genuine intervals. In this paper, we consider three types of always genuine exact confidence intervals and compare these intervals with two known generalized confidence intervals for the common mean and a newly proposed one. Besides simulation results, two real data examples are presented illustrating the performance of the various procedures.
KeywordsUnbiased Estimator Nuisance Parameter Good Linear Unbiased Estimator Exact Confidence Interval Pivotal Quantity
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