Comparison of Confidence Procedures for Type I Censored Exponential Lifetimes

In the model of type I censored exponential lifetimes, coverage probabilities are compared for a number of confidence interval constructions proposed in literature. The coverage probabilities are calculated exactly for sample sizes up to 50 and for different degrees of censoring and different degrees of intended confidence. If not only a fair two-sided coverage is desired, but also fair one-sided coverage's, only few methods are quite satisfactory. A likelihood-based interval and a third root transformation to normality work almost perfectly, but the ²-based method that is perfect under no censoring and under type II censoring can also be advocated.