- #1
VantagePoint72
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Suppose I have a normally distributed random variable with unknown mean μ and known standard deviation σ. Based on n samples of the RV, I'd like to compute an estimate of μ and a confidence interval at confidence level P%.
The usual way of doing this would be to use the standard error in the mean: if my sample mean is ##\bar{X}## and P is the total Gaussian probability between standard scores -Z and Z, then a confidence interval ##(\bar{X}- Z\sigma/\sqrt{n}, \bar{X}+ Z\sigma/\sqrt{n})## does the job. That is, if I repeat this sampling process many times then I can expect about P% of these confidence intervals to cover μ.
Am I "allowed" to choose a different procedure for constructing confidence intervals? Suppose my chosen confidence level is 30% and ##\sigma/\sqrt{n} = 1##. There is 30% (or close enough) probability that a given trial will yield a sample mean between ##\mu## and ##\mu + 0.85##, which I computed with the Gaussian CDF. Thus, the interval ##(\bar{X} - 0.85, \bar{X})## will cover μ about 30% of the times I do this n-sample experiment. So, it satisfies the requirement to be a 30% confidence interval.
Is there anything I'm missing about the definition of a confidence interval that doesn't allow me to do this construction? Obviously, the symmetric version based on the the standard error in the mean has nicer properties and does a better job of capturing the reliability of the estimator. If I don't care about that, though, am I free to make this slightly perverse construction instead?
The usual way of doing this would be to use the standard error in the mean: if my sample mean is ##\bar{X}## and P is the total Gaussian probability between standard scores -Z and Z, then a confidence interval ##(\bar{X}- Z\sigma/\sqrt{n}, \bar{X}+ Z\sigma/\sqrt{n})## does the job. That is, if I repeat this sampling process many times then I can expect about P% of these confidence intervals to cover μ.
Am I "allowed" to choose a different procedure for constructing confidence intervals? Suppose my chosen confidence level is 30% and ##\sigma/\sqrt{n} = 1##. There is 30% (or close enough) probability that a given trial will yield a sample mean between ##\mu## and ##\mu + 0.85##, which I computed with the Gaussian CDF. Thus, the interval ##(\bar{X} - 0.85, \bar{X})## will cover μ about 30% of the times I do this n-sample experiment. So, it satisfies the requirement to be a 30% confidence interval.
Is there anything I'm missing about the definition of a confidence interval that doesn't allow me to do this construction? Obviously, the symmetric version based on the the standard error in the mean has nicer properties and does a better job of capturing the reliability of the estimator. If I don't care about that, though, am I free to make this slightly perverse construction instead?