Size and Coverage Probability
From Jane Harvill
There are a number of methods for finding an interval estimator. In the frequentist domain, the three methods previously discussed are inverting the acceptance region of a hypothesis test, inverting a pivotal quantity, and inverting a cumulative distribution function. With three methods that could yield three different intervals for the same parameter, determine which interval is the best is necessary. In this lesson, using the set size and coverage probability as criteria for determining the best interval estimator is discussed.