An asymptotic analysis, when the sample size n tends to infinity, of the optimal confidence region established in Czarnowska and Nagaev (2001) is considered. As a result, two confidence regions, both close to the optimal one when n is sufficiently large, are suggested with a mild assumption on the distribution of a location-scale family.
@article{bwmeta1.element.bwnjournal-article-doi-10_4064-am33-1-1,
author = {M. Alama-Bu\'cko and A. Zaigraev},
title = {Asymptotic analysis of minimum volume confidence regions for location-scale families},
journal = {Applicationes Mathematicae},
volume = {33},
year = {2006},
pages = {1-20},
zbl = {1102.62029},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am33-1-1}
}
M. Alama-Bućko; A. Zaigraev. Asymptotic analysis of minimum volume confidence regions for location-scale families. Applicationes Mathematicae, Tome 33 (2006) pp. 1-20. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am33-1-1/