Minimum Expected Length Confidence Interval

1. Jan 31, 2007

hunraj

(Moving this to another section, because it is not for a particular course ...)

I'd greatly appreciate any direction toward establishing the result below.
I am studying statistics on my own, and found this in some online materials,
but it didn't come with a solution, and I've been a bit stuck ...

HR

1. The problem statement, all variables and given/known data

Given a sample [ X(1), X(2), ... X(n) ] from a Normal population with
unknown mean and variance, show that the Student's t based
confidence interval has the minimum expected length for a given
confidence level (1-a).

2. Relevant equations

3. The attempt at a solution

Last edited: Feb 1, 2007