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## Main Question or Discussion Point

Does anyone know how to find exact confidence intervals? I've looked through textbooks, but they only find approximate CIs using the assumption that [tex]\frac{\hat{\theta}-\theta}{se(\hat\theta)}}\rightarrow Z.[/tex]

So given a estimator, [tex]\hat\theta[/tex] do I have to find an exact distrubution for the above expression first. And is there any nice way to do this?

So given a estimator, [tex]\hat\theta[/tex] do I have to find an exact distrubution for the above expression first. And is there any nice way to do this?