Comparison of conditional and unconditional confidence intervals for the double exponential distribution

Abstract

Conditional confidence intervals for the location parameter of the double exponential distribution based on maximum likelihood estimators conditioned on a set of ancillary statistics and the corresponding unconditional confidence intervals based on the maximum likelihood estimators alone are compared in two ways. Monte Carlo techniques are used and the conditional approach appears to give slightly better results although agreement as n becomes larger is noted

Keywords:

• expected confidence interval length
• power of a test
• ancillary statistics
• maximum likelihood estimators