Stark, Philip B. - In: Statistics & Probability Letters 13 (1992) 1, pp. 39-44
Consider the problem of constructing a fixed-length confidence interval for [theta]0 from the observation Y ~ N([theta]0, [sigma]2), when we know a priori that [theta]0 [epsilon][-[tau], [tau]]. The length of the minimax confidence interval centered at an affine functional of Y can be computed...