Maximum Entropy and Bayesian Methods

Volume 70 of the series Fundamental Theories of Physics pp 175-182

Confidence Intervals from one Observation

  • C. C. RodríguezAffiliated withDepartment of Mathematics and Statistics, State University of New York at Albany

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Robert Machol’s surprising result, that from a single observation it is possible to have finite length confidence intervals for the parameters of location-scale models, is re-produced and extended. Two previously unpublished modifications are included. First, Herbert Robbins non-parametric confidence interval is obtained. Second, I introduce a technique for obtaining confidence intervals for the scale parameter of finite length in the logarithmic metric.