De Paul University, Chicago, IL, USA;Northwestern University Evanston, IL, USA;Rutgers University, New Brunswick, NJ, USA;University of California at Los Angeles, CA, USA
Abstract:
Confidence intervals are constructed for real-valued parameter estimation in a general regression model with normal errors. When the error variance is known these intervals are optimal (in the sense of minimizing length subject to guaranteed probability of coverage) among all intervals estimates which are centered at a linear estimate of the parameter. When the error variance is unknown and the regression model is an approximately linear model (a class of models which permits bounded systematic departures from an underlying ideal model) then an independent estimate of variance is found and the intervals can then be appropriately scaled.